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

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姓名

林家緯(Jia-Wei Lin) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

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)

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至系統瀏覽論文 (2025-7-1以後開放)

摘要(中)

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。

摘要(英)

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.

關鍵字(中)

★ 配對交易
★ 指數期貨
★ 布林通道

關鍵字(英)

★ Pairs Trading
★ Stock Index Futures
★ Bollinger Band

論文目次

摘要 i
ABSTRACT ii
誌謝 iii
圖目錄 vi
表目錄 viii
第一章緒論 1
1-1 研究背景 1
1-2 研究動機與文獻回顧 1
第二章台灣指數期貨配對交易策略 3
2-1 商品介紹 3
2-2 樣本資料 4
2-3 資料分析與研究方法 4
2-4 建立交易指標 5
2-5 參數設定 6
2-6 交易指標 6
2-7 對沖口數設定 7
第三章各組配對實證結果 8
第四章去除指數結構影響之交易策略 9
4-1 成份分析 9
4-2 重組台指期貨 10
4-3 交易設定 11
4-4 交易績效 12
第五章交易實務分析 13
5-1 交易設定 13
5-2 交易績效 14
5-3 交易成本設定 14
5-4 複利績效 14
第六章穩健性分析 15
6-1 非金電期貨穩健性 15
6-2 參數穩健性 15
6-3 成本穩健性 16
第七章結論 17
參考文獻 34

參考文獻

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Huck, N., and Afawubo, K, 2015, Pairs trading and selection methods: is cointegration superior? Applied Economics, 47(6), 599-613.
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Vidyamurthy, G, 2004, Pairs Trading: quantitative methods and analysis (Vol. 217): John Wiley and Sons.
Wahab, M., and Lashgari, M, 1993, Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach. Journal of Futures Markets, 13(7), 711-742.
Yang, Y., Goncu, A., and Pantelous, A, 2017, Pairs trading with commodity futures: evidence from the Chinese market. China Finance Review International.

指導教授

吳庭斌(Tin-Pin Wu)

審核日期

2020-7-3

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