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    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
    Keywords: 正價差
    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。


    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.
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    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
    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

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