English  |  正體中文  |  简体中文  |  Post-Print筆數 : 11 |  Items with full text/Total items : 88613/118155 (75%)
Visitors : 23476937      Online Users : 317
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/58765


    Title: 台股期現貨價差交易策略之獲利分析
    Profitability Analysis of TAIEX Index and Futures Strategies
    Authors: 方薌
    Contributors: 郭炳伸
    方薌
    Keywords: 正價差
    逆價差
    交易策略
    Date: 2012
    Issue Date: 2013-07-11 16:15:00 (UTC+8)
    Abstract: 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.
    Reference: 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)
    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    101351011
    101
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0101351011
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

    Files in This Item:

    File Description SizeFormat
    101101.pdf1554KbAdobe PDF473View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告
    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。
    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。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback