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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31739

    Title: 臺指與摩臺指期貨跨市場價差交易策略研究 : 採用移動平均線法
    Other Titles: Intra-commodity spreads strategy about taifex and simex : moving average method
    台指與摩臺指期貨跨市場價差交易策略研究 : 採用移動平均線法
    Authors: 莊育真;Chuang, Yu-chen
    Contributors: 淡江大學財務金融學系碩士班
    謝文良;Hsieh, Wen-liang
    Keywords: 價差交易;移動平均線;SPREADS;MOVING AVERAGE
    Date: 2006
    Issue Date: 2010-01-11 01:11:44 (UTC+8)
    Abstract: 期貨商品間價差交易最常採用移動平均線來判斷合理價差區間,以避免因為兩不同市場期貨契約規格以及匯率上的差異,造成合理價差的估計誤差。本文針對台指期貨與摩台指期貨契約,以多種評估方式選擇出適合衡量兩契約合理價差區間之移動平均天數,以及合理區間標準差的範圍。此外並制定數種不同價差交易策略,根據各策略價差交易結果,探討何種交易策略能獲得較高的價差報酬。

    It is very common to use Moving Average Method to determine reasonable intervals of intra-commodity spreads, which can avoid the estimating inaccuracy because of the differences between the clauses of foreign contracts in two different markets as well as the differences of foreign exchange rates. This dissertation focuses on using various measuring methods to determine favorable days of moving average of intra-commodity spreads and the ranges of standard deviation of intervals for Taifex and Simex. Beside, the dissertation is also trying to find out higher payoff of spreads by setting up several different strategies of the transaction of intra-commodity spreads and basing on different results of these strategies.

    Empirical results are as follow: First of all, in order to acquire payoff of spreads more efficiently, the more the moving average days are, the bigger the reasonable spreads intervals should be determined. The opportunities of the transaction of intra-commodity spreads will decrease when the rational range of intervals is bigger. Furthermore, there is no significant increase of times of spreads when the moving average days increase. Secondly, for building up the strategies of the transaction of intra-commodity spreads, the spreads variance of different days have deep impact on the payoff of spreads. For investors, after considering spreads variance, they can determine the signals of spreads more efficiently and acquire a higher payoff of spreads. Thirdly, after calculating the transaction costs, if the transaction of spreads still exists, it means that it is inefficient in the spreads market of commodities between Taiwan and Singapore. Investors can gain profits from the spreads.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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