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    請使用永久網址來引用或連結此文件: http://nccur.lib.nccu.edu.tw/handle/140.119/30081

    題名: The Applicability of Pairs Trading in Taiwan Stock Market
    作者: 謝承達
    貢獻者: 郭維裕
    關鍵詞: Pairs trading
    日期: 2005
    上傳時間: 2009-09-11 17:11:35 (UTC+8)
    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.
    參考文獻: □ Bakshi, Gurdip and Zhiwu Chen,1997, “Stock Valuation in Dynamic Economics,” working paper, Ohio State University.
    □ DeBont, Werner and Richard Thaler, 1985, Does the stock market overreact? , Journal of Finance 40,793-805.
    □ DeBont, Werner and Richard Thaler, 1987, Further evidence on investor overeation and stock market seasonality, Journal of Finance 42,557-581.
    □ Evan G. Gatev, William N. Goetzmann, and K. Geert Rouwenhorst, 1999 ”Pairs trading: Performance of a relative value arbitrage rule ” NBER working paper No. 7032.
    □ Ganapathy Vidyamurthy, Pairs Trading: Quantitative Methods and Analysis, published by John Wiley & Sons, Inc.
    □ Hong, and Susmel, 2003, “Pairs-Trading in the Asian ADR market”, Saginaw Valley State University.
    □ Jehadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to buying winners and Selling Losers: Implications for stock market efficiency, Journal of Finance 48, 65-91
    □ Jegadeesh, Narasimhan, and Sheridan Titman, 1995, Overreaction, Delayed Reaction, and Contrarian Profits, The Review of Financial Studies Vol.8 No. 4, 973-93
    □ 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.
    描述: 碩士
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0923510241
    資料類型: thesis
    顯示於類別:[國際經營與貿易學系 ] 學位論文


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