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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31661

    Title: 配對交易策略應用於台灣股票市場之實證研究
    Other Titles: Pairs trading strategy applied in Taiwan stock market
    Authors: 林奇生;Lin, Chi-sheng
    Contributors: 淡江大學財務金融學系碩士在職專班
    謝文良;Hsieh, Wen-liang
    Keywords: 對沖基金;避險基金;配對交易;統計套利;回復均值;hedge fund;pairs trading;statistical arbitrage;mean reversion
    Date: 2006
    Issue Date: 2010-01-11 01:06:28 (UTC+8)
    Abstract: 在國外,配對交易屬於統計套利策略中最普遍為市場所運用者,本研究之目的在於運用計量模型為分析工具,並以台灣股票集中市場之台灣50成分股為研究對象,望能提供投資人有關配對交易策略能否有效運用於台灣股票市場之有用參考資訊。
    In other countries, pairs trading is the most popular strategy in statistical arbitrage.The purpose of this study is using pairs trading strategy to analyze Taiwan 50 index constituents and seeing if this strategy is a proper and effective way for the average investors who like to gain a new perspective in Taiwan stock market.
    The most expedient way for pairs trading is correlation analysis. The list of pairs is explicitly partitioned into two sets: potentially cointegrated and not potentially cointegrated. We could just as well work with a candidate list of all possible pairs, run cointegation tests on all of them, and eliminate pairs that fail the tests. The formation period and trading period is between May first 2003 and April 30th 2005.
    The result appears that annualized return of sector portfolio is 25.4% and 114.4% in different trading strategy. It is apparently prior than the of sub-sector portfolio, which is 8.9%. After considering the approach of using cointegration testing and fundamental analysis, even though the pairs are in the different industries, if there is a deviation from the long-run mean, one or both time series will adjust themselves to restore the long-run equilibrium.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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