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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/94653


    Title: 共整合統計套利交易策略運用-台灣股票與指數期貨市場
    Authors: 楊傑翔
    Contributors: 郭維裕
    楊傑翔
    Keywords: 統計套利
    共整合
    statistical arbitrage
    cointegration
    Date: 2008
    Issue Date: 2016-05-09 11:26:04 (UTC+8)
    Abstract: In this study we examine the notion of applicability of
    cointegration statistical arbitrage in Taiwan stock, electronic and financial index future. We form the trading pairs by construction the cointegration relation pairs in the same industry and the same type of business. The basic concept we applied in this way is that market neutral, and contrarian investment. We execute three different kind of
    pairs. They are individual stock vs. stock pairs, Finance Sector Index Futures and financial stocks, and Electronic and Finance Sector Index Futures vs. Electronic and Financial stock portfolio. The results from the three different kind of combination are all showing the feasibility.
    of our statistical model.
    Reference: [1] Alexander, C. and Dimitriu, A.(2002) “The Cointegration Alpha: Enhanced Index Tracking and Long-Short Equity Market Neutral Strategies”, ISMA Discussion Papers in Finance 2002-08
    [2] Ackert, L.F. and M.D. Racine (1998) “Stochastic Trends and Cointegration in the Market for Equities”, working paper 98-13, Federal Reserve Bank of Atlanta
    [3] Alexander, C. O. (1999) “Optimal hedging using cointegration” Philosophical Transactions of the Royal Society A 357, pp. 2039-2058
    [4] Balke, N.S. and T.B. Fomby (1997) “Threshold cointegration”, International Economic Review 38, pp. 627-645
    [5] Barra RogersCasey Research (2000) Market Neutral Investing, research report, www.hedgeworld.com
    [6] Brenner, R.J., K.F. Kroner (1995) “Arbitrage, Cointegration and Testing the Unbiasedness Hypothesis in Financial Markets”, Journal of Financial and Quantitative Analysis 30-1 (1995), pp. 23-42
    [7] Harris, F.H., T.H. McInish, G.L. Shoesmith and R.A. Wood (1995) “Cointegration, Error Correction, and Price Discovery on Informationally Linked Securities Markets”, Journal of Financial and Quantitative Analysis 30, pp. 563-579
    [8] Hendry, D. and K. Juselius (2000) “Explaining Cointegration Analysis: Part II”, Energy Journal 21, pp. 1-42
    [9] Robin J. Brenner and Kenneth F. Krone (1995) “Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets”, The Journal of Financial and Quantitative Analysis, Vol. 30, No. 1, (Mar., 1995), pp. 23-42
    [10] Paul Chong and Mike Cormier (2004) “Independent Study On Co-integration Trading Model”
    [11] Bodurtha, Jr. J. N., and G. R. Courtadon, 1986, “Efficiency tests of the foreign 38 currency options market,” Journal of Finance, 41, 151 - 162.
    [12] Chan, L. K.C., N. Jegadeesh, and J. Lakonishok, 1996, “Momentum strategies,” Journal of Finance, 51, 1681 - 1713.
    [13] Johansen, S. (1988) “Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamics and Control 12, pp.231-254
    [14] Johansen, S. (1991) “Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models”, Econometrica 59, pp. 1551-1581
    [15]Johansen, S. and K. Juselius (1990) “Maximum Likelihood Estimation and Inference on Cointegration – with Applications to the Demand for Money”, Oxford Bulletin of Economics and Statistics 52, pp. 169-210
    [16] Kunst, R. and K. Neusser (1990) “Cointegration in a Macroeconomic System”, Journal of Applied Econometrics 5-4, pp. 351-365
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    94351037
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0094351037
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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