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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 林修葳(Hsiou wei Lin) | |
| dc.contributor.author | "Chu, Siou-Wun" | en |
| dc.contributor.author | 褚秀紋 | zh_TW |
| dc.date.accessioned | 2021-06-08T05:56:56Z | - |
| dc.date.copyright | 2008-01-30 | |
| dc.date.issued | 2008 | |
| dc.date.submitted | 2008-01-22 | |
| dc.identifier.citation | 一、中文
1.李正斌（2000）TAIFEX台股指數與類股指數期貨價差交易之硏究。台灣大學財務金融學系研究碩士論文。 2.莊育真（2006）台指與摩台指期貨跨市場價差交易策略研究－採用移動平均線法。淡江大學財務金融學系研究所碩士論文。 3.黃銘煌（1998）TAIFEX與SIMEX台股指數期貨跨市場價差交易策略之研究。台灣大學商學系研究所碩士論文。 二、英文 1. Board, J. and Sutcliffe, C. “The Dual Listing of Stock Index Futures: Arbitrage, Spread Arbitrage and Currency Risk,” Journal of Futures Markets, 1996, 16, 29-54. 2. Butterworth, D. and Holms, P. “Inter-market Spread Trading: Evidence From UK Index Futures Markets,” Applied Financial Economics, 2002, 12, 783-790. 3. Dickey, D.A. and W.A. Fuller “Distribution of the Estimators for Autoregressive Time Series with a Unit Root,” Journal of the American Statistical Association, 1979, 74, 427-431. 4. Dickey, D.A. and W.A. Fuller “Likelihood Ratio Statistic for Autoregressive Time Series with a Unit Root,” Econometrica”, 1981, 49, 143-159. 5. Dunis, C.L., Laws, J. and Evans, B. “Modelling and Trading the Gasoline Crack Spread: A Non-linear Story,” Derivatives Use, Trading & Regulation, 2006, 12, 126-145. 6. Dunis, C.L., Laws, J. and Evans, B. “Trading Futures Spreads: Applications of Threshold and Correlation Filters,” Applied Financial Economics, 2006, 16, 903-914. 7. Engle, R.F. and C.W.J. Granger “Cointegration and Error Correction Representation, Estimation and Test,” Econometrica, 1987, 55, 251-273. 8. Girma, P.B. and Paulson, A.S. ”Risk Arbitrage Opportunities in Petroleum Futures Spreads,” The Journal of Futures Markets, 1999, 831-955. 9. J.Hamilton,”Time Series Analysis,” Princeton: Princeton University Press, 1994. 10. Johansen, S. “Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models,” Econometrica, 1991, 59, 1551-1580. 11. Liu, S.M. and Chou, C.H. “Parities and Spread Trading in Gold and Silver Markets: A Fractional Cointegration Analysis,” Applied Financial Economics, 2003, 13, 899-911. 12. Phillips, P.C.B. and P. Perron “Testing for a Unit Root in Time Series Regression,” Biometrika, 1988, 335-346. 13. Sargan, J.D., “Wages and Prices in the United Kingdom: A Study in Econometric Methodology,” in: P.E. Hart et al., eds., Econometric analysis for national economic planning (Butterworth, London), 1964, 25-63. 14. Wahab, M.W., “Conditional Dynamics and Optimal Spreading in the Precious Metals Futures Markets,”The Journal of Futures Markets, 1995, 15, 131-166. 15. Wilcox, S.E. and Geppert, J.M. “An Error-Correction Model f or Forecasting Changes in Foreign Currency Futures Spreads,” Journal of Economics and Finance, 2007, 31, 122-142. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/24826 | - |
| dc.description.abstract | 本研究運用共整合及移動平均法兩種價差交易方法，以台灣股價指數期貨市場中之台股指數期貨、電子類股指數期貨和金融類股指數期貨為對象，檢視二法於台股指數及類股指數期貨是否有超額報酬之可能。
本研究之特色在於針對股價指數期貨及類股指數期貨合約，建立三種不同標的商品，且契約規格大小亦不相同之價差交易模式，與過去文獻多將重心擺在兩不同市場及兩種不同標的物之價差交易有所不同。此外，亦比較過去學術界及實務界常用之價差交易移動平均法和共整合分析法在台股及類股指數期貨之獲利表現，可以將兩種方法效益作ㄧ比較。 研究結果顯示，移動平均法與共整合方法皆可獲取超額報酬，且共整合方法之超額報酬大於移動平均法。相同之方法亦可應用於其它金融商品或市場，以分析投資標的之價差交易策略，亦可提供個別投資人或証券公司在進行投資策略時之參考。 | zh_TW |
| dc.description.abstract | This thesis examines the effectiveness and the profits associated with spread trading via moving average and cointegration approaches on Taiwan’s Stock Index Futures.
In contrast with the concurrent papers, which focus on two differet markets and underlying index futures, this study establishes three underlying index futures with different contract sizes. The result shows that both of the approaches help gain excess returns. Moreover, Cointegration approach appears to out-perform moving average approach | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T05:56:56Z (GMT). No. of bitstreams: 1 ntu-97-R94724005-1.pdf: 322664 bytes, checksum: 4ac95bcda00e76d000bfc7d15223f345 (MD5) Previous issue date: 2008 | en |
| dc.description.tableofcontents | 口委審定書 i
謝誌 ii 中文摘要 iii 英文摘要 iv 目錄 v 圖表目錄 vi 第一章 緒論 1 第二章 文獻回顧 3 第三章 研究方法 6 第一節 資料來源 6 第二節 移動平均價差交易法 6 第三節 共整合價差交易模式 10 第四章 實証結果與分析 19 第一節 移動平均估計結果 19 第二節 共整合模式估計結果 25 第五章 結論 31 參考文獻 32 | |
| dc.language.iso | zh-TW | |
| dc.subject | 價差交易 | zh_TW |
| dc.subject | 移動平均法 | zh_TW |
| dc.subject | 共整合方法 | zh_TW |
| dc.subject | Cointegration Approach | en |
| dc.subject | Spread Trading | en |
| dc.subject | Moving Average Approach | en |
| dc.title | 採移動平均法及共整合法之
台灣指數期貨價差交易策略研究 | zh_TW |
| dc.title | A Study of Spread Trading Strategies via Moving Average and Cointegration Approaches on Taiwan’s Stock Index Futures | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 96-1 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 許耀文(Yaowen Hsu),陳思寬(Shikuan Chen) | |
| dc.subject.keyword | 價差交易,共整合方法,移動平均法, | zh_TW |
| dc.subject.keyword | Spread Trading,Cointegration Approach,Moving Average Approach, | en |
| dc.relation.page | 34 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2008-01-23 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
| 顯示於系所單位： | 國際企業學系 | |
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|---|---|---|---|
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