配對交易是否仍可於當今市場上獲取超額報酬？─以台灣股票市場為例

Profitability of Pairs Trading Strategy in Taiwan Equity Market Nowadays

盧冠言(Kuan-Yen Lu)

指導教授 ： 林姿婷

國立臺灣大學/管理學院/財務金融學研究所/碩士(2020年)

https://doi.org/10.6342/NTU202000793

摘要

本研究以台灣上市櫃公司發行的股票為樣本，在配對交易發表後時隔約30年的時空背景下，探討台灣股票市場是否依然可以藉由配對交易的策略來獲取優於大盤的超額報酬。本研究之實證結果指出，若依照TEJ台灣經濟新報資料庫的產業分類，並將選出的50組產業類別中市值最大的兩檔股票進行配對交易，在交易期間為一年時(第二階段配對交易期間2018/01/01~2018/12/31)，不論設定開倉訊號為一、二、三倍標準差時，皆能產生顯著的超額報酬。然而在交易期間為半年與一年半時(第一階段配對交易期間2018/01/01~2018/06/30與第三階段配對交易期間2018/01/01~2019/06/28)，產生超額報酬的能力不顯著。同時，各配對交易階段，高相關係數之產業組別不論在設定開倉訊號為一、二、或是三倍標準差時所產生的超額報酬皆大於低相關係數之產業組合，然而此差異並無達到統計上的顯著。

關鍵字

配對交易 ； 套利策略 ； 超額報酬 ； 相關係數 ； 台灣股票市場

並列摘要

This paper investigates in whether pairs trading strategy can still be able to generate excess return under nowadays after its invention in 1980s. This research conducts pairs trading strategy at Taiwan equity markets, selecting two stocks with highest market cap in each of the fifty TEJ predefined industry categories. The results show pairs trading strategy can provide investors statistically significant excess return in the sampling period from 2018/01/01 to 2018/12/31 regardless of initiation signals set at one, two or three historical standard deviations. However, profitability of pairs trading is not statistically significant in sampling periods from 2018/01/01 to 2018/06/30 and from 2018/01/01 to 2019/06/28. In addition, in each sampling period, high correlation category’s average excess return is higher than low correlation category, while the difference is also without significance.

並列關鍵字

Pairs Trading ； Arbitrage ； Excess Return ； Correlation ； Taiwan Equity Market

參考文獻

Andrade, S., Di Pietro, V., and Seasholes, M., 2005, Understanding the Profitability of Pairs Trading, Working paper, University of California, Berkeley, and Northwestern University, 341-360.

Do, B., and Faff, R., (2010), Does Simple Pairs Trading Still Work?, Financial Analysts Journal(66), 88-95.

Gatev, E., Goetzmann, W., and Rouwenhorst, K. G., 2003, “Pairs Trading: Performance of a Relative Value Arbitrage Rule,” Working paper, Yale University.

Hong, G., and Susmel, R., 2003, Pairs-Trading in the Asian ADR market, working paper, Saginaw Valley State University.

Marcelo Scherer Perlin, 2007, Evaluation of pairs trading strategy at the Brazilian financial market, Unpublished doctorate dissertation, Reading University.