請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/65401完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 李賢源(Shyan-Yuan Lee) | |
| dc.contributor.author | Chih-Hung Chuang | en |
| dc.contributor.author | 莊智閎 | zh_TW |
| dc.date.accessioned | 2021-06-16T23:40:49Z | - |
| dc.date.available | 2017-08-01 | |
| dc.date.copyright | 2012-08-01 | |
| dc.date.issued | 2012 | |
| dc.date.submitted | 2012-07-25 | |
| dc.identifier.citation | [1] Black, F., Scholes, M. 1973. The Pricing of Options and Corporate Liabilities. Journal of Political Economy. 81, (3): 637-654.
[2] Engle, R. 1995. ARCH, Selected Readings. Oxford University Press, Oxford, U.K. [3] Lo, A., MacKinlay, C. 1988. Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test. Review of Financial Studies, 1, 41-66. [4] Merton, R.C. 1973. Theory of rational option pricing. Bell Journal of Ecnomics and Management Sciences, 4, 141-183. [5] Pang, Hua Dong. 2009. A Novel Simple but Empirically Consistent Model for Stock Price and Option Pricing. Working paper. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/65401 | - |
| dc.description.abstract | 本篇論文旨在探討當市場現象不符合股價預測模型假設時，能否運用其他方法達到預測的目的。並進一步希望藉由得以預測股價的優勢，找出從市場上獲利的方法，因此模擬回測配對交易的績效。回測後，發現若以台積電、聯電為投資組合，並佐以買進台積電、賣出聯電且每半年結算一次的方式，將可以得到夏普指數為0.5115、勝率高達78.26%的成效。這結果顯示了在長期多頭、空頭市場交錯下，運用此策略仍能獲利。 | zh_TW |
| dc.description.abstract | The main purpose of this paper is to see if there’s another way to predict the stock price when the usual assumptions for the forecast model are no longer applied to the market. Once we have a better ability to forecast, finding opportunities to profit from the market would be our goal; thus, we did some back-testing. From the result we had, if TSMC and UMC were in our portfolio, the best strategy would be buying TSMC and selling UMC with a holding period of half a year, which would give us a sharpe ratio of 0.5115 and 78.26% of winning chances. This showed that no matter which kind of market, bull or bear, we were facing, profiting from the market was not out of reach. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-16T23:40:49Z (GMT). No. of bitstreams: 1 ntu-101-R99723027-1.pdf: 5189472 bytes, checksum: b756881dba79564abd34680a8be40783 (MD5) Previous issue date: 2012 | en |
| dc.description.tableofcontents | 口試委員會審定書 i
摘要 ii Abstract iii 圖目錄 v 表目錄 vi 第一章 緒論 1 1.1 研究目的 1 1.2 研究架構 2 第二章 文獻回顧 3 第三章 研究方法 5 3.1 資料來源 5 3.2 研究構想與計算方法 5 第四章 實證結果與分析 8 4.1 市場現象 8 4.2 資產變動過程 12 4.3 股價預測 20 4.4 配對交易模擬回測 25 第五章 結論與建議 31 5.1 結論 31 5.2 未來研究方向與建議 32 參考文獻 33 | |
| dc.language.iso | zh-TW | |
| dc.subject | 配對交易 | zh_TW |
| dc.subject | 股價預測 | zh_TW |
| dc.subject | Pair trading | en |
| dc.subject | Stock forecast | en |
| dc.title | Pang模型(2009)下的股價預測與配對交易之實證研究─以台灣市場為例 | zh_TW |
| dc.title | An Empirical Study of Stock Price Forecast and Pair Trading under Pang’s Model (2009) – Case of Taiwan Market | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 100-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 王耀輝,鍾懿芳 | |
| dc.subject.keyword | 股價預測,配對交易, | zh_TW |
| dc.subject.keyword | Stock forecast,Pair trading, | en |
| dc.relation.page | 33 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2012-07-25 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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