台灣期貨交易市場配對交易實證分析- 論指數成份對獲利能力之影響;Empirical Analysis of Pairing Trading in the Taiwan Futures Trading Market-The Impact of Index Components on Profitability

NCUIR > School of Management at National Central University > Graduate Institute of Finance > Electronic Thesis & Dissertation > Item 987654321/83609

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/83609

Title:	台灣期貨交易市場配對交易實證分析- 論指數成份對獲利能力之影響;Empirical Analysis of Pairing Trading in the Taiwan Futures Trading Market-The Impact of Index Components on Profitability
Authors:	林家緯;Lin, Jia-Wei
Contributors:	財務金融學系
Keywords:	配對交易;指數期貨;布林通道;Pairs Trading;Stock Index Futures;Bollinger Band
Date:	2020-07-03
Issue Date:	2020-09-02 16:43:29 (UTC+8)
Publisher:	國立中央大學
Abstract:	傳統配對交易大都使用股票去做兩兩配對，本文利用台灣期貨交易所之指數期貨進行配對交易，共以台灣指數期貨、電子指數期貨、金融指數期貨、非金電指數期貨等四種指數期貨實證分析，計算其價格偏離程度進場做配對交易是否有利可圖，與驗證去除指數期貨成份結構的不同後是否會更具有獲利能力。由於指數期貨組成的不同，在單獨判斷兩相關性商品價格偏離時會有判斷錯誤的狀況，因此本文發現去除指數期貨成份結構的不同之後配對交易的獲利能力及其穩定性會上升，同時判斷配對價格的偏離會更加準確。 ;Most of the traditional pair trading use stocks for pairwise matching. This article uses Taiwan index futures for pair trading. A total of four index futures, including Taiwan Capitalization Weighted Stock Index, Finance Index futures, Electronics Index futures, and Non-Finance & Electronic index futures, are used for empirical analysis. Whether it is profitable via buying lower price futures and sell short higher price futures when these two-futures price deviations, and to verify whether it is more profitable after removing the difference in the structure of the index futures. Due to the difference in the composition of index futures, there will be a judgment error when judging the deviation of the price of two related commodities separately. Therefore, this paper finds that the profitability and stability of paired trading will increase after removing the difference in the structure of index futures components. Pairs price deviations will be more precisely.
Appears in Collections:	[Graduate Institute of Finance] Electronic Thesis & Dissertation

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