| dc.contributor.advisor | 郭維裕 | zh_TW |
| dc.contributor.advisor | Kuo,Weiyu | en_US |
| dc.contributor.author (Authors) | 謝承達 | zh_TW |
| dc.contributor.author (Authors) | Hsieh,Cheng-Ta | en_US |
| dc.creator (作者) | 謝承達 | zh_TW |
| dc.creator (作者) | Hsieh,Cheng-Ta | en_US |
| dc.date (日期) | 2005 | en_US |
| dc.date.accessioned | 11-Sep-2009 17:11:35 (UTC+8) | - |
| dc.date.available | 11-Sep-2009 17:11:35 (UTC+8) | - |
| dc.date.issued (上傳時間) | 11-Sep-2009 17:11:35 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0923510241 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/30081 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 國際經營與貿易研究所 | zh_TW |
| dc.description (描述) | 92351024 | zh_TW |
| dc.description (描述) | 94 | zh_TW |
| dc.description.abstract (摘要) | How one can get a big fish in the stock market is an intriguing question with no answer. With the assumption of market inefficiency, we design technical trading strategies based on pairs trading which was well known by Wall Street to capture the big fish. A pair is composed of a security over anther, and we attempt to make the pair market neutral. We test the profitability of several trading rules with daily data during the period from Jan.1, 2002 to Mar.31, 2005. We also test the one price law of ADRs, during the sample period from 1996 Jul. to 2005 Apr. We find that the performance of the Moving Average Model is better. In particular, in the Moving Average Model the top 10% trading pairs make an average lucrative 2.07 % return in K5-10 model, 2.95 % return in K5-15 model, and 3.55 % in K5-20 model. | en_US |
| dc.description.tableofcontents | Abstract…………………………………………………...………………1 Ⅰ.Introduction………………………………………...…………………2 Ⅱ.Data…………………………………………...……………………….5 Ⅲ.Methodology………………..…………………………………............6 Ⅳ.Empirical results……………..………………………………………10 Ⅳ.1 Strategy profits………………………………………………….....10 Ⅳ.1.1 Taiwan Stock market…………………………………………….10 Ⅳ.1.2 Dual markets………………………………………….……….....11 Ⅳ.2 Trading statistics…………………………………………………...12 Ⅳ.2.1 Average return per trade by pair type..……………….………….12 Ⅳ.2.2 Average hit ratio by pair type…………………………………....13 Ⅴ.Conclusion and recommendation…………………….……….……..14 Ⅴ.1 Conclusion………………………………………….………….…..14 Ⅴ.2 Recommendation………………………................………………..15 Reference…………………………………………….………………….17 Table………………………………………………….…………………18 Appendix…………………………………………….………………….27 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0923510241 | en_US |
| dc.subject (關鍵詞) | Pairs trading | en_US |
| dc.title (題名) | The Applicability of Pairs Trading in Taiwan Stock Market | zh_TW |
| dc.type (資料類型) | thesis | en |
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| dc.relation.reference (參考文獻) | □ Ganapathy Vidyamurthy, Pairs Trading: Quantitative Methods and Analysis, published by John Wiley & Sons, Inc. | zh_TW |
| dc.relation.reference (參考文獻) | □ Hong, and Susmel, 2003, “Pairs-Trading in the Asian ADR market”, Saginaw Valley State University. | zh_TW |
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| dc.relation.reference (參考文獻) | □ Jegadeesh, Narasimhan, and Sheridan Titman, 1995, Overreaction, Delayed Reaction, and Contrarian Profits, The Review of Financial Studies Vol.8 No. 4, 973-93 | zh_TW |
| dc.relation.reference (參考文獻) | □ Tony Lee, Alex Ypsilanti, and Daniel Lam, 2004, “Statistical Pair Trading: Performance Analysis of a Portfolio of Pair Trades in Asia Pacific ex-Japan,” Merrill Lynch. | zh_TW |
