臺灣指數期貨價差交易投資策略之研究-移動平均法與共整合法之應用

高槓桿且多樣化的期貨商品為提供投資者投資選擇或是風險管理的工具，其投資策略自然備受投資者關心，其中最常使用的為價差交易，是利用不同的期貨契約，根據商品間價格短期發生偏離，長期會回復正常區間內的情形，採取買進低賣高以賺取報酬之策略。本研究樣本期間為2008年1月至2010年12月之日內五分鐘資料，採用時間序列模型之移動平均法與共整合法，探討臺股期貨、金融期貨、電子期貨、櫃買期貨與非金電期貨共五種期貨商品，考慮交易成本後，利用水平價差交易找出最佳投資組合。研究結果發現，兩種方法皆能獲得報酬，其中，移動平均法之90%信賴水準下，最佳投資組合為臺股期貨與非金電期貨，移動平均法之95%信賴水準下，最佳投資組合為臺股期貨與非金電期貨，移動平均法之99%信賴水準下，最佳投資組合為臺股期貨與非金電期貨。此外，若以各組合之三種信賴水準下作為比較，皆以99%信賴水準下之投資績效為最佳。共整合法之90%信賴水準下，最佳投資組合為臺股期貨與櫃買期貨，共整合法之95%信賴水準下，最佳投資組合為臺股期貨與電子期貨，共整合法之99%信賴水準下，最佳投資組合為臺股期貨與非金電期貨。此外，使用移動平均法與共整合法皆能獲得報酬，且以每單位風險下之平均報酬率來比較，共整合法之結果皆優於移動平均法之結果，且最佳組合為共整合法信賴水準90%下之臺股期貨與櫃買期貨。

關鍵字

價差交易；移動平均法；共整合法

並列摘要

Highly leveraged and diversify futures can provide investors as investment choices or risk management tools, so the investment strategies has attracted the attention of investors. The most used of investment strategies is spread trading, it can gain profits from the spreads because two different futures contracts have deviated for a short time, but it will back to normal intervals for a long time. This paper focuses on using time series analysis model： Moving average model and cointegration model, to determine the best portfolio. It used five minutes data by TX, TF, TE, GIF and XIF, and span from January 2008 to December 2010. Our results show that both of models can gain excess gains, and by using moving average model：In 90% confidence level, the best portfolio is TX and XIF, and in 95% confidence level and in 99% confidence level, the best portfolio also is TX and XIF. By using cointegration model：In 90% confidence level, the best portfolio is TX and GTF, and in 95% confidence level, the best portfolio is TX and TE, then the best portfolio in 99% confidence level, the best portfolio is TX and XIF. Furthermore, the average return per unit by using cointegration model is better than using moving average model. In conclusion, the best portfolio is TX and GTF by using cointegration model and when in 99% confidence level.

並列關鍵字

Spread Trading ； Moving Average Model ； Cointegration Model

參考文獻

[9] 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。

[1] Board, J. and Sutcliffe, C., 1996, “The Dual Listing of Stock Index Futures： Arbitrage, Spread Arbitrage, and Currency Risk”, Journal of Futures Markets, 16(1), pp.29-54

[2] Butterworth, D. and Holms, P., 2002, “Inter-market Spread Trading： Evidence from UK Index Futures Markets”, Applied Financial Economics, 12(11), pp.783-790

[4] Cornell, B. and French, K.R., 1983, “The Pricing of Stock Index Futures” , Journal of Futures Markets, 3(1), pp.1-14

[6] Ma, C.K., 1985, “Spreading Between the Gold and Silver Markets： Is There a Parity?”, Journal of Futures Markets, 5(4), pp.579-594

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臺灣指數期貨價差交易投資策略之研究-移動平均法與共整合法之應用

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