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

Intra-commodity spreads strategy about Taifex and Simex-Moving average method

莊育真(Yu-Chen Chuang)

指導教授 ： 謝文良

淡江大學/商學院/財務金融學系碩士班/碩士(2006年)

https://doi.org/10.6846/TKU.2006.00115

摘要

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。

實證結果顯示，第一：移動均線天數越長，採用判斷價差偏離的合理區間也應越大，以便更有效率的獲得價差報酬。此外，合理區間範圍取得越大，所得到的價差交易機會越少。而當移動天數增加，價差交易次數並沒有顯著隨之增加。第二：在價差交易策略制定上，長短天期價差波動性對價差獲利有很大的影響。對投機者而言，考量價差波動性後，能更有效率的判斷出價差偏離的訊號，並獲得較高的價差報酬。第三：計算交易成本後，此兩期貨契約價差交易仍存在獲利機會，代表台灣與新加坡商品間價差交易市場不效率，投資人可以從中獲得投機報酬。

關鍵字

價差交易 ； 移動平均線

並列摘要

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.

並列關鍵字

SPREADS ； MOVING AVERAGE

參考文獻

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