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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 9-May-2016 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 dc.contributor.advisor 郭維裕 zh_TW dc.contributor.author (Authors) 楊傑翔 zh_TW dc.creator (作者) 楊傑翔 zh_TW dc.date (日期) 2008 en_US dc.date.accessioned 9-May-2016 11:26:04 (UTC+8) - dc.date.available 9-May-2016 11:26:04 (UTC+8) - dc.date.issued (上傳時間) 9-May-2016 11:26:04 (UTC+8) - dc.identifier (Other Identifiers) G0094351037 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/94653 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易學系 zh_TW dc.description (描述) 94351037 zh_TW dc.description.abstract (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. zh_TW dc.description.tableofcontents 目錄: CH1 Introduction.......................... 02~06 Ch2 Methodology........................... 07~12 Ch3 Data.................................. 12~13 Ch4 Empirical Result...................... 13~18 Ch5 Conclusion and Recommednation......... 19~20 Appendix.................................. 21~36 Reference................................. 37~38 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0094351037 en_US dc.subject (關鍵詞) 統計套利 zh_TW dc.subject (關鍵詞) 共整合 zh_TW dc.subject (關鍵詞) statistical arbitrage en_US dc.subject (關鍵詞) cointegration en_US dc.title (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 zh_TW dc.type (資料類型) thesis en_US dc.relation.reference (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 zh_TW
