政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/135900

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/135900

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政大典藏 > College of Commerce > Department of International Business > Theses > Item 140.119/135900

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/135900

Title:	產業間上下游公司配對交易之績效評估- 以食品業、鋼鐵業、半導體產業為例 Performance evaluation of pair trading between upstream and downstream companies in industries- Take the food industry, steel industry, and semiconductor industry as examples
Authors:	王紫瓈 Wang, Tzu-Li
Contributors:	郭維裕 Kuo, Wei-Yu 王紫瓈 Wang, Tzu-Li
Keywords:	上下游配對交易產業距離法共整合法 Upstream and Downstream Pair trading Industry Distance method Cointegration method
Date:	2021
Issue Date:	2021-07-01 16:10:57 (UTC+8)
Abstract:	隨著 2020 年疫情肆虐全世界，中美貿易戰、科技戰開打，全球現處於一個不確定的環境，投資市場與產業變數巨大，因此本研究希望可以運用多空配合的交易策略，為投資人建立一個簡單且中性風險的配對交易策略，協助投資人在如此動盪不安的環境中，承受較低的風險同時也獲得穩定報酬。本研究從 2010 年 1 月 1 日起至 2020 年 12 月 31 日止為樣本期間，並以台灣近年來表現較佳的產業之所屬股票為研究標的，共計約 50 檔股票，分別作配對。以距離法與共整合檢定進行選股，最後選出六組股票對，經實證後發現，就方法而言，距離法選出之股票對獲利表現較佳;就產業而言，半導體產業的報酬表現較佳，綜合上述，以距離法選出且屬半導體產業之股票對聯陽 (3014)與福懋科 (8131)此配對，總報酬率高達 23.30%，為六組配對中報酬表現最佳之股票對。 With the prevalence of COVID-19 around the world in 2020, U.S.-China trade war and technological wars have begun, the world is now in an uncertain environment, and the investment market and industries are extremely variable. Therefore, this research hopes to use long-short trading strategies for investors. Establish a simple and neutral risk matching trading strategy to assist investors in such a turbulent environment, to withstand lower risks and obtain stable returns. This study is the sample period from January 1, 2010 to December 31, 2020, and uses stocks belonging to industries that have performed better in recent years in Taiwan as the research target. A total of about 50 stocks are matched. The distance method and the cointegration test are used to select stocks. Finally, six stock pairs are selected. After empirical research, it is found that the stocks selected by the distance method perform better. In terms of industry, the semiconductor industry performance preferably. Based on the above, the stock pair Lianyang (3014) and Fu Maoke (8131), which are selected by the distance method and belong to the semiconductor industry, have a total return of 23.30%, which is the best-performing stock pair among the six pairs.
Reference:	1. 薛愛蓉(2019) 。不同距離測度下的配對交易之獲利比較。國立臺北大學統計學系碩士論文 2. 黃煜翔(2020) 。配對交易方法在貴金屬市場之績效評估。國立臺北大學統計所碩士論文 3. 李則沂(2018) 。配對交易的實務應用。國立臺北大學統計學系碩士論文 4. 童韋傑(2020) 。配對交易結合SVM 於台股市場之應用研究。國立臺北大學統計學系碩士論文 5. 田懿斐(2015) 。股價評價比率在台灣股市之應用。國立政治大學商學院國際經營與貿易學系碩士論文 6. Do, B., & Faff, R. (2010). Does simple pairs trading still work?. Financial Analysts Journal, 66(4), 83-95. 7. Gatev, E., Goetzmann, W. N., & Rouwenhorst, K. G. (2006). Pairs trading: Performance of a relative-value arbitrage rule. The Review of Financial Studies, 19(3), 797-827. 8. Farago, A., & Hjalmarsson, E. (2019). Stock price co-movement and the foundations of pairs trading. Journal of Financial and Quantitative Analysis, 54(2), 629-665. 9. Mudchanatongsuk, S., Primbs, J. A., & Wong, W. (2008, June). Optimal pairs trading: A stochastic control approach. In 2008 American control conference (pp.1035-1039). IEEE. 10. Smith, R. T., & Xu, X. (2017). A good pair: alternative pairs-trading strategies. Financial Markets and Portfolio Management, 31(1), 1-26.
Description:	碩士國立政治大學國際經營與貿易學系 108351024
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0108351024
Data Type:	thesis
DOI:	10.6814/NCCU202100550
Appears in Collections:	[Department of International Business] Theses

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