區間價差交易策略-以台灣五十指數ETF為例; The Strategy of Range Spread Transaction – take Taiwan Top 50 Tracker Fund as an example

NCUIR > School of Management at National Central University > Executive Master of Finance Management > Electronic Thesis & Dissertation > Item 987654321/48879

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Title:	區間價差交易策略-以台灣五十指數ETF為例;The Strategy of Range Spread Transaction – take Taiwan Top 50 Tracker Fund as an example
Authors:	陳志賢;Chih-hsien Chen
Contributors:	財務金融學系碩士在職專班
Keywords:	區間價差交易策略;The range spread transaction strategy
Date:	2011-07-22
Issue Date:	2012-01-05 15:08:54 (UTC+8)
Abstract:	本研究以台灣第一檔指數股票型基金「台灣50指數ETF」作為研究對象，期間自上市日2003年6月30日至2010年12月31日，驗證「區間價差交易策略」投資交易方法是否能夠擊敗買進持有法而獲得超額報酬。實證結果顯示「區間價差交易策略」能夠比「買進持有法」得到更佳的投資報酬。此外，本研究所設計之敏感度分析更驗證了「區間價差交易策略」在過去2004年1月1日至2010年12月31日六年歷經多空市場循環下所累計的總投資報酬，以及在不同參數設定的情況下，仍可得到優於「買進持有法」的投資報酬。另將此交易策略延伸運用至「電子指數ETF」與「金融指數ETF」；實證結果顯示「區間價差交易策略」在不同標的中一樣能夠比「買進持有法」得到更佳的投資報酬。 Implementing Range Spread Trading Strategy – An Example Taiwan Top 50 Tracker Fund This study uses Taiwan Top 50 Tracker Fund, the first exchange traded fund in Taiwan as the study object, and the period covers from the launch date of June 30th, 2003 to December 31st, 2010 to investigate if the range spread trading strategy can beat the buy-and-hold strategy to gain excess returns. The empirical result shows that the range spread strategy can generate better investment returns than buy-and-hold strategy. Besides, the sensitivity analysis verifies that the range spread strategy outperforms buy-and-hold strategy over a full cycle of bear and bull markets from January 1st, 2004 to December 31st, 2010 and under various parameter settings. Furthermore, we extend the strategy to Taiwan Electronics Tech ETF and MSCI Taiwan Financials ETF and find that the range spread strategy can also generate better returns
Appears in Collections:	[Executive Master of Finance Management] Electronic Thesis & Dissertation

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