政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/35496

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/35496

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政大典藏 > College of Commerce > Executive Master of Business Administration > Theses > Item 140.119/35496

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/35496

Title:	台灣股票市場執行統計套利之可行性分析
Authors:	羅君昱 Lo, Chun-Yu
Contributors:	沈中華,郭維裕羅君昱 Lo, Chun-Yu
Keywords:	共整合配對交易市場中立策略統計套利
Date:	2005
Issue Date:	2009-09-18 15:09:48 (UTC+8)
Abstract:	本篇論文利用計量經濟之共整合模型來進行台灣股票市場的股票配對交易可行性分析，主要方法是界定目標資產與模擬資產，並當目標資產與模擬資產間偏離長期均衡關係時，即買進低估的資產，放空高估之資產，靜待它們回到長期之均衡關係，並藉此賺取兩者資產價格收斂的報酬。本論文研究對象為台灣五十指數成份股，經Engle-Granger共整合檢定及篩選β值兩步驟之結果，共計6組配對股票符合篩選標準。資料區間參數經檢定為20天及240天資料較為穩定，並截取2003年1月至2006年5月之間6組配對股票每日收盤資料進行績效回測，其結果如下：經扣除交易成本後，20天資料之投資報酬率普遍較低，有3組配對平均年報酬率為負值，最佳配對為台達電/鴻海，平均年報酬率6.36%。另外一組240天資料投資報酬率較高；有4組平均年報酬率在2%以上，最佳配對為仁寶/廣達，平均年報酬率高達14.58%。若將6組配對平均分配投入資金組成投資組合，分析發現20天資料之平均年報酬率為0.78%，240天資料之平均年報酬率為2.44%。顯示短天期20天資料回測結果較不具投資吸引力。依據本研究之實證結果，針對改善套利績效有以下幾點建議： (一) 持有配對股票庫存高之法人機構或自然人可降低投入資金，適合發展股票配對交易以提高統計套利之報酬率。 (二) 深入探討進出場之門檻策略，尋找最佳化參數。 (三) 挑選夏普指標值高者以減少投資組合的配對組數改善整體績效。 (四) 利用槓桿交易提高報酬率，並留意風險控管以免過度擴張信用。此種統計套利策略屬於市場中立(market neutral)策略，可以為專業投資機構發展出績效穩定但相對風險較低的投資方式，在未來若國內法規允許的情況下，統計套利將適合產壽險公司、政府基金、私募基金、校務基金等許多專業機構將此策略納入其投資策略之一環。
Reference:	中文部份: (1)楊奕農(2005)，時間序列分析-經濟與財務上之應用，雙葉書廊有限公司，台北。英文部份: (1)Alexander, C. and A .Dimitriu (2002) “The Cointegration Alpha: Enhanced Index Tracking and Long-short Equity Market Neutral Strategies.” (2)Arak, M. and D.Taylor (1996) “Optimal trading with mean-reverting prices : switching between foreign stocks and closed-end country funds. ” (3)Banerjee, A., J. Dolado., J. W. Galbraith and D. F. Hendry (1993) Cointegration, Error-Correction, and The Econometric Analysis of Non-stationary Data. New York: Oxford University Press. (4)Boguslavskaya and Bouguslavsky(2003) “ Optimal Arbitrage Trading .” (5)Enders, W. (2004) Applied Econometric Time Series. New York: John Willey & Sons, Inc. (6)Engle, R.F. and C.W.J. Granger (1987) “ Co-integration and Error Correction : Representation, Estimation and Testing,” Econometrica 55, no. 2, P:251-276. (7)Evan, G.G., W. N. Goetzmann, and K.G. Rouwenhorst(1999) “ Pairs Trading : Performance of a Relative Value Arbitrage Rule .” (8)Granger, C. W. J. (1981) “Some Properties of Time Series Data and Their Use in Econometric Model Specification,” Journal of Econometrics. (9)Granger, C. W. J., and P. Newbold (1974) “Spurious Regressions in Econometric,” Journal of Econometrics, 26. (10)Kargin, V.(2004) “Optimal Convergence Trading. ” (11)McCrary, S. A.(2002)“ How to create & manage a hedge fund: a professional’s guide. ” (12)Murray, M.P.(1994)“ A drunk and her dog : An illustration of cointegration and error correction. ” (13)Roger, S.K.(2004) “ Improving pairs Trading with Response Surface Methodology. ” (14)Vidyamurthy, G. (2004) “ Pairs trading: quantitative methods and analysis.”
Description:	碩士國立政治大學經營管理碩士學程(EMBA) 92932204 94
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0929322041
Data Type:	thesis
Appears in Collections:	[Executive Master of Business Administration] Theses

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