台灣指數期貨與ETF價差交易之研究-以台股期貨、電子期貨、金融期貨與台灣50ETF為例

A Study of Pair Trading Using TAIEX Futures, Electronic Sector Index Futures, Finance Sector Index Futures, and Taiwan Top 50 ETF

陳岱佑(Tai-Yu Chen)

指導教授 ： 王克陸

國立交通大學/管理學院/財務金融研究所/碩士(2013年)

https://doi.org/10.6842/NCTU.2013.00388

摘要

過去資料顯示，台股期貨、電子期貨、金融期貨這些台灣指數期貨與台灣50ETF間具有高度的相關性，且其歷史價格的走勢上非常的相似，使彼此的價差會隨著相對價格的變化呈現擴張與縮小的現象。從過去文獻與市場觀察可知，以布林格通道作為價差合理帶狀區間的參考指標，可尋找到隱藏的風險性套利機會。故本研究欲引用此法建構期現貨價差交易策略，對台灣指數期貨與台灣50ETF間的價差進行交易與分析，並探討在不同參數的設定下，此期現貨價差交易策略的績效表現與未來預測的效果。
研究結果顯示，布林格通道的區間越寬廣，交易時所面臨的風險越大。在測試期間中，以電子期貨與台灣50ETF的組合有較佳的績效表現。測試期間績效表現較好的參數組合，在驗證期間並未達到預測的結果。

關鍵字

配對交易、價差交易、布林格通道

並列摘要

Historical data shows that there were high correlations among TAIEX Futures, Electronic Sector Index Futures, Finance Sector Index Futures and Taiwan Top 50 ETF. The spreads between ETF and various Futures may expand or narrow due to changes of the relative prices. Using Bollinger Bands as reference indicators of reasonable ranges, this study builds a pair trading strategy and measures the spread among index futures and Taiwan Top 50 ETF. The predictive performance under various parameter settings is also discussed. We found that the wider the Bollinger Bands, the greater the transaction risk. Furthermore, during the sample period, the pairs with Electronic Sector Index Futures and Taiwan Top 50 ETF had the best performance. However, they did not do well in the testing period.

並列關鍵字

Pair trading, spread trading, Bollinger Bands

參考文獻

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Billingsley, Randall S., and Don M. Chance., “The pricing and performance of stock index futures spreads”, Journal of Futures Markets, Vol. 8, No. 3, pp. 303-318, 1988.

Girma, Paul Berhanu, and Albert S. Paulson., “Risk arbitrage opportunities in petroleum futures spreads”, Journal of Futures Markets, Vol. 19, No. 8, pp. 931-955, 1988.

Ganapathy Vidyamurthy, “ Pairs Trading: Quantitative Methods and Analysis ”, John Wiley & Sons, 2004.

Jacobs, Bruce I., and Kenneth N. Levy, “Long/short equity investing”, The Journal of Portfolio Management, Vol. 20, No. 1, pp. 52-63, 1993.