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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/116015


    Title: 配對交易策略於陸股ETF及黃金、日幣期貨之應用
    Pairs Trading Strategy on China ETFs and Gold, Japanese Yen Futures
    Authors: 蔡景璿
    Tsai, Ching-Hsuan
    Contributors: 廖四郎
    Liao, Szu-Lang
    蔡景璿
    Tsai, Ching-Hsuan
    Keywords: 配對交易
    共整合
    單根檢定
    陸股ETF
    COMEX黃金
    CME日幣
    Pairs trading
    Cointegration
    Unit-root test
    China ETF
    COMEX gold
    CME yen
    Date: 2017
    Issue Date: 2018-03-02 11:40:20 (UTC+8)
    Abstract: 配對交易策略為一被廣為使用的交易策略，其特性為使用數個關聯性高的資產同時建立多空部位，藉此消除大部分的市場風險，賺取與市場趨勢無關聯性的報酬；本研究欲探討共整合法配對交易策略應用於兩類標的資產上之可行性及其功效:台灣證券交易所掛牌的6檔陸股ETF、以及COMEX黃金期貨與CME日幣期貨之組合。本研究使用之配對交易策略應用於6檔陸股ETF大部分參數設定下可獲得正報酬，獲利性卻不如預期，且共整合性質較佳之配對無法保證其交易績效亦較佳；COMEX黃金期貨及CME日幣期貨雖相對共整合性質不佳，仍以原策略測試可獲得較優秀的績效，此結果顯示共整合法配對交易策略於兩類資產上可行性皆不高，而配對交易策略於黃金、日幣組合上可能仍有其功效，尚須以不同方法進行驗證。
    Pairs trading strategy is one kind of market neutral strategy which take both long and short positions in two or more highly correlated assets. By doing this pairs trading strategy can eliminate market risk and make profits which are not correlated with market trends. This paper aims to figure out if pairs trading strategy work well on China ETFs listed in TWSE and the COMEX gold-CME yen future pair. We use the cointegration approach to test and simulate trading performance on the securities mentioned. The result shows that pairs trading strategy profit on China ETFs under most of the parameters, but the returns are insufficient. Furthermore, good cointegration property in the input periods can’t guarantee better performances in the outputs periods. For COMEX gold future and CME yen future, cointegration property in the input periods are worse than China ETFs, but using the same strategy we find a more profitable outcome. The empirical result indicate that pairs trading strategy might still work on gold and yen, but the cointegration approach is not suitable for these two groups of assets.
    Reference: 中文部分:
    1.李忠和(2006)。”相對價值套利法則－台灣股市之配對交易績效分
    析”。逢甲大學，經濟學所碩士論文。
    2.李梓萱(2010)。”配對交易是否仍然有其功效—以台灣股票市場為
    例”。逢甲大學，財務金融學所碩士論文。
    3.沈宣佑(2014)。”三檔股票交易設計並與傳統配對交易之績效表現比
    較”。國立交通大學，財務金融研究所碩士論文。
    4.梁育書(2009)。”以共整合為基礎的交易策略在台灣期貨市場之應
    用”。朝陽科技大學，財務金融系碩士論文。
    5.陳岱佑(2012)。”台灣指數期貨與ETF價差交易之研究-以台股期貨、
    電子期貨、金融期貨與台灣50ETF為例”。國立交通大學，財務金融研
    究所碩士論文。
    6.陳偉婷(2012)。”建立配對交易之綜合指標”。東吳大學，財務工程與
    精算數學系碩士論文。
    7.郭正芳(2013)。”新加坡新華富時中國A50指數期貨與香港安碩富時
    A50中國指數ETF套利研究”。銘傳大學，財務金融學系碩士論文。
    8.陳旭昇，(2013)。”時間序列分析－總體經濟與財務金融之應用”。台
    灣:東華書局。
    9.梁芷綾(2014)。”共整合的期貨價差交易策略運用以黃金白銀期貨為
    例”。明新科技大學，管理研究所碩士論文。
    10.黃敬雯(2011)。”臺灣指數期貨價差交易投資策略之研究-移動平均
    法與共整合法之應用”。國立虎尾科技大學，經營管理研究所碩士論
    文。
    11.蔡明祥(2013)。”台灣指數期貨短線價差交易策略-以共整合方
    法”。國立臺北大學，國際財務金融學系碩士論文。
    12.劉思恩(2012)。”台指期貨與台灣50 ETF日內高頻資料套利實證研
    究”。輔仁大學，金融與國際企業學系碩士論文。
    13.劉藝帆(2011)。”原油期貨之價差交易策略分析”。輔仁大學，經濟
    學研究所碩士論文。
    14.藍慶芳(2012)。”運用配對交易於台灣股票期貨之實證研究”。朝陽
    科技大學，財務金融系碩士論文。

    英文部分:
    1.Akaike, H., (1973). ”Information Theory and an
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    9.Vidyamurthy,G., (2004). Pairs Trading-Quantitative
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    10.Wu-chang,Luo, (2002).” Spread Arbitrage Between Stock
    Index Futures in Taiwan : A Cointegration Approach”,
    University of Southampton, UK.
    11.Wahab,M. and Lashgarri,M., (1993).”Price Dynamics and
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    Markets : A Cointegration Approach”, The Journal of
    Futures Market Vol.13, p711-742.
    Description: 碩士
    國立政治大學
    金融學系
    104352037
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0104352037
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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