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題名 台股期現貨價差交易策略之獲利分析
Profitability Analysis of TAIEX Index and Futures Strategies作者 方薌 貢獻者 郭炳伸
方薌關鍵詞 正價差
逆價差
交易策略日期 2012 上傳時間 11-Jul-2013 16:15:00 (UTC+8) 摘要 本研究針對台股期貨與現貨價差策略進行獲利性分析，採用正價差及逆價差作為進場買賣台股期貨之指標，並在穩健度分析上將研究資料分成前後兩期以及牛市、熊市以及盤整三階段，以檢驗在不同時期之獲利特性呈現。在價差部份，本文將八個策略分為正向策略及反向策略兩類，前者為根據市場上及實務界的說法進行交易，後者則將正向策略做一相反操作。透過獲利分析，可以發現正向策略並不能獲得正報酬，且超過50點的價差策略會使虧損擴大；而大多數的反向策略均能獲得顯著正報酬，且超過50點的價差策略更佳。穩健性分析部份，樣本的前後兩段時間其報酬率均沒有顯著差異。然而於牛市、熊市和盤整期間之各種報酬率呈現明顯特性，亦即牛市和熊市時之正向策略傾向分別使用「追正價差」和「殺逆價差」獲得正報酬；反向策略則傾向在牛市時分別使用「追逆價差」和「殺正價差」獲得正報酬。
The main purpose of this study is to examine the TAIEX futures and spot prices, using the spreads between TAIEX futures and spot prices as an indicator to trade TAIEX futures. The robustness check consists of data divided into different market conditions such as bull market and bear market.This study examines both “original” and “reversing” trading strategies. Original trading strategies are based on the theory provided by the market, and reversing ones are exactly the opposite approach. By examining the profitability, empirical studies show that original trading strategies cannot yield positive returns while reversing trading strategies can come to positive returns. As for robustness check, the results show there are no significant differences between the first half and the second half of the data. However, not only reversing trading strategies but also original trading strategies can yield positive returns when given certain market conditions.參考文獻 Figlewski, S., “Explaining the Early Discounts on Stock Index Futures: The Case for Disequilibrium”, Financial Analysts Journal (1984)Cornell, B. and French, K.R., "The Pricing of Stock Index Futures", Journal of Futures Markets (1983)Kawaller, Ira G., Koch, Paul D. and Koch, Timothy W., “The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index”, The Journal of Finance (1987)Chan, K. “A Further Analysis of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Markets”, Review of Financial Studies (1992)Mackinlay, A.C., and K. Ramaswamy, "Index Futures Arbitrage and the Behavior of Stock Index Future Prices", Review of Financial Studies (1988)Stoll, H.T., and R.E. Whaley, "The Dynamics of Stock Index and Stock Index Futures Returns", The Journal of Finance and Quantitative Analysis (1990)Brenner, M., Subrahmanyam, M. G., and J. Uno, “The Behavior of Prices in the Nikkei Spot and Futures Market”, Journal of Financial Economics (1989)Brenner, M., Subrahmanyam, M. G., and J. Uno, “Arbitrage opportunities in the Japanese stock and futures markets”, Financial Analysts Journal (1990)Buhler, W. and A. Kempf, "DAX index futures: mispricing and arbitrage in German markets", Journal of Futures Markets (1990)Wooldridge, J. F., Introductory Econometrics -- A Modern Approach, South-Western College Publishing (2009)Chance, D., and R. Brooks, An Introduction to Derivatives and Risk Management, South-Western Educational Publishing (2013) 描述 碩士
國立政治大學
國際經營與貿易研究所
101351011
101資料來源 http://thesis.lib.nccu.edu.tw/record/#G0101351011 資料類型 thesis dc.contributor.advisor 郭炳伸 zh_TW dc.contributor.author (Authors) 方薌 zh_TW dc.creator (作者) 方薌 zh_TW dc.date (日期) 2012 en_US dc.date.accessioned 11-Jul-2013 16:15:00 (UTC+8) - dc.date.available 11-Jul-2013 16:15:00 (UTC+8) - dc.date.issued (上傳時間) 11-Jul-2013 16:15:00 (UTC+8) - dc.identifier (Other Identifiers) G0101351011 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/58765 - 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) 101351011 zh_TW dc.description (描述) 101 zh_TW dc.description.abstract (摘要) 本研究針對台股期貨與現貨價差策略進行獲利性分析，採用正價差及逆價差作為進場買賣台股期貨之指標，並在穩健度分析上將研究資料分成前後兩期以及牛市、熊市以及盤整三階段，以檢驗在不同時期之獲利特性呈現。在價差部份，本文將八個策略分為正向策略及反向策略兩類，前者為根據市場上及實務界的說法進行交易，後者則將正向策略做一相反操作。透過獲利分析，可以發現正向策略並不能獲得正報酬，且超過50點的價差策略會使虧損擴大；而大多數的反向策略均能獲得顯著正報酬，且超過50點的價差策略更佳。穩健性分析部份，樣本的前後兩段時間其報酬率均沒有顯著差異。然而於牛市、熊市和盤整期間之各種報酬率呈現明顯特性，亦即牛市和熊市時之正向策略傾向分別使用「追正價差」和「殺逆價差」獲得正報酬；反向策略則傾向在牛市時分別使用「追逆價差」和「殺正價差」獲得正報酬。 zh_TW dc.description.abstract (摘要) The main purpose of this study is to examine the TAIEX futures and spot prices, using the spreads between TAIEX futures and spot prices as an indicator to trade TAIEX futures. The robustness check consists of data divided into different market conditions such as bull market and bear market.This study examines both “original” and “reversing” trading strategies. Original trading strategies are based on the theory provided by the market, and reversing ones are exactly the opposite approach. By examining the profitability, empirical studies show that original trading strategies cannot yield positive returns while reversing trading strategies can come to positive returns. As for robustness check, the results show there are no significant differences between the first half and the second half of the data. However, not only reversing trading strategies but also original trading strategies can yield positive returns when given certain market conditions. en_US dc.description.tableofcontents 第一章 緒論 1第二章 研究方法 6 第一節 樣本來源與資料說明 6 第二節 價差之計算 7 第三節 交易策略之建構 9第三章 實證結果 17 第一節 正向交易策略實證結果 17 第二節 反向交易策略實證結果 21第四章 穩健度分析 26 第一節 預測方向能力 26 第二節 穩定的獲利性 30 第三節 牛市、熊市與盤整 32第五章 結論與建議 41 參考文獻 43 zh_TW dc.format.extent 1591853 bytes - dc.format.mimetype application/pdf - dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0101351011 en_US dc.subject (關鍵詞) 正價差 zh_TW dc.subject (關鍵詞) 逆價差 zh_TW dc.subject (關鍵詞) 交易策略 zh_TW dc.title (題名) 台股期現貨價差交易策略之獲利分析 zh_TW dc.title (題名) Profitability Analysis of TAIEX Index and Futures Strategies en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Figlewski, S., “Explaining the Early Discounts on Stock Index Futures: The Case for Disequilibrium”, Financial Analysts Journal (1984)Cornell, B. and French, K.R., "The Pricing of Stock Index Futures", Journal of Futures Markets (1983)Kawaller, Ira G., Koch, Paul D. and Koch, Timothy W., “The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index”, The Journal of Finance (1987)Chan, K. “A Further Analysis of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Markets”, Review of Financial Studies (1992)Mackinlay, A.C., and K. Ramaswamy, "Index Futures Arbitrage and the Behavior of Stock Index Future Prices", Review of Financial Studies (1988)Stoll, H.T., and R.E. Whaley, "The Dynamics of Stock Index and Stock Index Futures Returns", The Journal of Finance and Quantitative Analysis (1990)Brenner, M., Subrahmanyam, M. G., and J. Uno, “The Behavior of Prices in the Nikkei Spot and Futures Market”, Journal of Financial Economics (1989)Brenner, M., Subrahmanyam, M. G., and J. Uno, “Arbitrage opportunities in the Japanese stock and futures markets”, Financial Analysts Journal (1990)Buhler, W. and A. Kempf, "DAX index futures: mispricing and arbitrage in German markets", Journal of Futures Markets (1990)Wooldridge, J. F., Introductory Econometrics -- A Modern Approach, South-Western College Publishing (2009)Chance, D., and R. Brooks, An Introduction to Derivatives and Risk Management, South-Western Educational Publishing (2013) zh_TW
