政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/111447

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/111447

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政大機構典藏 > 商學院 > 統計學系 > 學位論文 > Item 140.119/111447

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题名:	台股期現貨價差、成交量與技術指標融合之期貨交易策略獲利分析 Profit analysis of futures trading strategy with stock price spread、volume and technical indicators in Taiwan
作者:	莊文傑
贡献者:	林士貴蔡紋琦莊文傑
关键词:	價差均線成交量技術分析交易策略 Spread Moving average Volume Technical analysis Trading strategy
日期:	2017
上传时间:	2017-07-31 10:57:35 (UTC+8)
摘要:	本研究針對台股期貨與現貨價差、成交量與技術指標融合之期貨交易策略進行獲利分析，以台股期貨與現貨的價差為主體，融合傳統技術指標和量價關係作為進場買賣台股期貨的訊號與指標，採用資料為2001年至2016年加權指數與台指期貨一分鐘資料，經過實證研究後發現，正價差放空與逆價差做多其績效表現優於正價差做多與逆價差放空，這與坊間的使用方法大為不同，另外經過實證結果，我們可以得知，若要以量價關係作為交易策略與指標，長期下來成交量增加做多與成交量減少放空績效較佳，若要以均線作為交易策略與指標，長期下來指數在均線之上做多與指數在均線之下放空績效較佳，也經由實證結果得知，價差策略可以藉由價差濾網與考量除權息因素進行調整，使價差策略績效表現更為突出，另一方面，也實證出價差策略融合成交量形成的新策略，績效表現優於價差策略融合均線形成的策略，本研究最後將價差策略融合成交量形成的新策略，考慮了價差濾網與除權息因素進行改良，並且與大盤績效進行比較，實證結果得知價差策略融合成交量作為的交易策略，績效表現可以擊敗大盤，我們最後將資料區分為兩個時間區間，將價差策略融合成交量的策略進行穩健性檢定，發現在兩個不同時間區間下，策略的績效無明顯差異，因此我們可以說此策略長期下來具有穩定性，這有利於未來進行交易。 This study focus on profit analysis of futures trading strategy with stock price spread, quantity and technical indicators in Taiwan. With the price spread between the stock index and the futures as main topic, we fusion traditional technical analysis indicators and the relationship of trading volume and price as our signal and indicator to setup a futures trading strategy. Our research data use one-minute data frequency of Taiwan weighted stock index and Taiwan index futures from 2001 to 2016 as analysis period. The empirical result shows that to short sale if bull spread is occurred and to going long if bear spread shows up have better performance than its opposite activity, which is different from the method people use in general. This study also finds that if we attempt to utilize the relationship of trading volume and price as trading strategy and indicator, going long if trading volume increase and to short sale if trading volume decrease will work better in long run period. If we are going to use the moving average as trading strategy and indicators, that we go long for price above the moving average of the stock index and short sale for price below the moving average of the stock will more proper in long run period. Empirical results also demostrate that through spread filter and ex-dividend factor consideration spread strategy can be adjusted accordingly so that spread strategy performance can be more prominent. On the other hand, this study also proves that the performance of new strategy, formed through integration of spread strategy and trading volume strategy, is better than the integration of spread strategy and moving average strategy. Finally, this study integrates the spread strategy and trading volume strategy to formed new strategy, taking into account the improvement of the spread filter and the ex-dividend factor, then compares it with the market performance. The results show that the spread strategy integration with trading volume as a trading strategy and performance indicators can beat the market. We first divide the data into two cycles, then we perfom robustness test to the integration of spread strategy and trading volume strategy. We find out that under both cycles the strategy shows similar result. Thus, we can conclude that this strategy is stabile in long run and would be beneficial in future trading.
參考文獻:	(一)中文文獻 [1] 方薌，「台股期現貨價差交易策略之獲利分析」，國立政治大學國際經營與貿易研究所碩士論文，民國102年 [2] 林俊宏，「成交量對技術分析指標在期貨市場操作績效的影響」，國立交通學管理科學碩士班碩士論文，民國95年 (二)英文文獻 [3] Bessembinder, H., and Chan, K. 1995. The profitability of technical trading rules in the Asian stock market. Pacific-Basin Finance Journal, vol. 3, 257-284. [4] Blume, L., Easley, D. and O’Hara, M. 1994. Market statistics and technical analysis the role of volume. The Journal of Finance, vol. 49, 153-181. [5] Buhler, W., and Kempf, A. 1995. DAX index futures: mispricing and arbitrage in German markets. Journal of Futures Markets, vol. 15, 833-859. [6] Chan, K. 1992. A further analysis of the lead-lag relationship between the cash market and stock index futures markets. The Review of Financial Studies, vol. 5, 123-152. [7] Coonter, P. 1964. The random character of stock market prices. MIT Press , Cambridge, MA. [8] George, G., James, C. and Parker, C. 1968. Technical trading rules: A comment. Financial Analysts Journal, vol. 24, 128-132. [9] Thomas, W. 1975. Security price changes and transaction volumes theory and evidence. American Economic Review, vol. 65, 586-597. [10] Wabab, M., and Leshgari, M. 1993. Price dynamics and error correction in stock index and stock index futures markets : A cointegration approach. Journal of Futures Markets, vol. 13, 711-742. [11] William, B., Josef, L., and Blake, L. 1992. Simple technical trading rules and the stochastic properties of stock returns. The Journal of Finance, vol. 47, 1731-1764.
描述:	碩士國立政治大學統計學系 104354010
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G1043540101
数据类型:	thesis
显示于类别:	[統計學系] 學位論文

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