政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/94653
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文筆數/總筆數 : 112881/143847 (78%)
造訪人次 : 50298609      線上人數 : 488
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜尋範圍 查詢小技巧：
  • 您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料
    •  進階搜尋


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/94653


    題名: 共整合統計套利交易策略運用-台灣股票與指數期貨市場
    作者: 楊傑翔
    貢獻者: 郭維裕
    楊傑翔
    關鍵詞: 統計套利
    共整合
    statistical arbitrage
    cointegration
    日期: 2008
    上傳時間: 2016-05-09 11:26:04 (UTC+8)
    摘要: 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.
    參考文獻: [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
    描述: 碩士
    國立政治大學
    國際經營與貿易學系
    94351037
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0094351037
    資料類型: thesis
    顯示於類別:[國際經營與貿易學系 ] 學位論文

    文件中的檔案:

    檔案 大小格式瀏覽次數
    index.html0KbHTML2269檢視/開啟


    在政大典藏中所有的資料項目都受到原著作權保護.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回饋