کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
973772 | 932869 | 2010 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A trading strategy based on Callable Bull/Bear Contracts
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
The Callable Bull/Bear Contract is a barrier options contract recently introduced to the Hong Kong market. In this study, we propose a trading strategy that defines the entry point and exit point using information on the contract's call price and mandatory call event. Using data on contracts based on the Hong Kong Hang Seng Index, it is shown that the proposed trading strategy, on average, yields some decent trading returns that vary quite substantially across individual trades. Exploratory analyses indicate that trading returns are associated with volatility observed during a contract's lifespan and, to a lesser extent, with volatility in the pre-issuance period. Further, an issuer's relative issuing frequency may bear some implications for the trading strategy's performance.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Pacific-Basin Finance Journal - Volume 18, Issue 2, April 2010, Pages 186-198
Journal: Pacific-Basin Finance Journal - Volume 18, Issue 2, April 2010, Pages 186-198
نویسندگان
Yan-Leung Cheung, Yin-Wong Cheung, Angela W.W. He, Alan T.K. Wan,