探討臺灣期權市場短時間內有相當漲跌時介入之投資策略

淡江大學機構典藏 > 商管學院 > 管理科學學系暨研究所 > 學位論文 > Item 987654321/74221

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题名:	探討臺灣期權市場短時間內有相當漲跌時介入之投資策略
其它题名:	The investment strategy for investing futures and options instruments during the rising and falling prices in the very short run
作者:	林牧鋒;Lin, Mu-Feng
贡献者:	淡江大學管理科學研究所碩士班倪衍森;Ni, Yen-Sen
关键词:	期貨;選擇權;投資策略;Futures;Options;Investing Strategies
日期:	2011
上传时间:	2011-12-28 18:16:52 (UTC+8)
摘要:	由於近兩年金融海嘯肆虐使得全球投資人風聲鶴唳，風吹草動皆可能造成資本市場的巨幅震盪，使得許多投資人心驚膽顫。是以投資人提高趨避風險避險的意識，而且若是以投機介入衍生性金融商品市場也會更加地戒慎地來為之。此外若投資期權標的物，則由期權標的高槓桿特性，所以投資者以當日平倉來避免明日未知的風險居多。此外投機者介入期權商品也找出可以提高獲利的可能性，是以本研究乃是探討當期貨短時間有急漲急跌的情況發生下，考量各種介入、考量停利停損與否且在考量風險之當日平倉是否有利可圖為本研究探討的課題。結果顯示5分鐘下跌20點時，僅設停損點的策略有最佳的獲利，而選擇權則以5分鐘內漲10點時介入有最佳獲利。有此結果後我們可以將此模型做程式交易，實際運用於資本市場，由於此模型無須留倉、也不會有情緒干擾因素，故可以在減少投資人的壓力的同時達到獲利的目的。 Recently, finance tsunami spread across all over the world in these years, which causes huge volatilities happened in the worldwide capital markets. So, investors would pay more attention to investment risk then before. Thus, some investors would concern the hedge, and other investors might try to figure out how to make profit by employing derivative commodities with care. In addition, the derivatives are high financial leverage financial commodities, so market participant would employ day trade transaction, namely, offset open interests in a day, to prevent uncontrolled risk happened. In addition, speculators would figure out what strategies would lift up the possibility of making profit; therefore, this study investigates that investors adopt the daily trading approach by taking long /short strategies, stop loss or stop gain into account, while futures prices lift up or drop down sharply in the short time. The studied result shows that investor would make profit by taking a long position for index futures, when futures price decline 20 points in five minutes. Moreover, investor would make profit by taking a long position for index call option, when futures price raise 10 points in five minutes. Therefore, the results suggest investors might employ computer program trading in the real world, since the program trading would not only get rid of the emotion stirred by the volatilities of capital markets, but also reduce the pressure of market participants.
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