臺指期貨與摩根臺股期貨之對沖交易;Hedge trading between Taiwan index futures and MSCI Taiwan index futures

NCUIR > School of Management at National Central University > Executive Master of Finance Management > Electronic Thesis & Dissertation > Item 987654321/83640

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/83640

Title:	臺指期貨與摩根臺股期貨之對沖交易;Hedge trading between Taiwan index futures and MSCI Taiwan index futures
Authors:	吳炫儀;WU, HSUAN-YI
Contributors:	財務金融學系在職專班
Keywords:	對沖交易;臺指期貨;摩根臺股期貨;hedging;Taiwan Index futures;MSCI Taiwan index futures
Date:	2020-07-21
Issue Date:	2020-09-02 16:47:12 (UTC+8)
Publisher:	國立中央大學
Abstract:	本研究探討臺指期貨與摩根臺股期貨在最近月份合約一個交易日當中，在考慮受到電子類股的影響差異下，進行兩商品間一買一賣的對沖交易，是否能夠出現獲利空間。本研究使用單根檢定與Granger因果關係檢定，探究電子期貨分別對臺指期貨及摩根臺股期貨這兩個商品間的關聯性，選取自108年7月10 日至109年4月10日間，去除三個期貨商品未能同時開市的交易日後，共有180個交易日，共計54000筆一分鐘資料，進行檢定。並建立對沖交易模型，回朔樣本期間是否存在獲利可能。本研究的研究期間適逢經歷武漢肺炎(COVID-19)的衝擊，導致109年1月底至109年3月期間出現快速及大幅度的下跌走勢，更於109年3月20日進入反彈行情，致使109年的樣本期間內，研究變數相較於過去具有較大的日內震盪幅度，使本研究更具意義。 ;This study explores whether Taiwan Index futures and MSCI Taiwan index futures can be profitable if they conduct a one-for-one hedging transaction between two commodities within one trading day of the most recent contract month, taking into account the differences in the influence of electronic stocks. In this study, the unit root test and Granger causality test were used to explore the correlation between electronic futures and the two commodities of Taiwan index futures and MSCI Taiwan index futures. They were selected from July 10, 2019 to April 10, 2020. After a trading day in which futures commodities failed to open at the same time, a total of 180 trading days, a total of 54,000 pieces of one-minute data were tested. And establish a hedging transaction model, whether there is a possibility of profit during the sample period. The research period of this study coincided with the impact of COVID-19, resulting in a rapid and large downward trend from the end of January to March 2020. On March of 20th 2020, it entered a rebound, which resulted in a larger intra-day volatility compared to the past during the 2020-year sample period, making this study more meaningful.
Appears in Collections:	[Executive Master of Finance Management] Electronic Thesis & Dissertation

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