以共整合為基礎的交易策略在台灣期貨市場之應用

An Application of Cointegration-based Trading Strategy for Taiwan Futures Market

梁育書(Yu-Shu Liang)

指導教授 ： 張健邦

朝陽科技大學/管理學院/財務金融系/碩士(2010年)

摘要

本文探討共整合關係在價差交易策略之應用，以台灣期貨交易所發行之台灣股價指數期貨(簡稱台股期貨)、電子類股價指數期貨(簡稱電子期貨)與金融保險類股價指數期貨(簡稱金融期貨)為研究對象，找出各期間變數之共整合關係，並將之應用在放空價差部位(Short Spread Position)和買進價差部位(Long Spread Position)兩種價差交易策略。

Luo(2002)與褚秀紋(2008)之研究顯示若共整合關係之價差超過價差交易上界或低於價差交易下界，執行單次交易的放空(Short)或買進(Long)價差交易策略且在結清前不再進場，其缺點是不管接續幾天共整合關係之價差是否仍超過價差交易上界或低於價差交易下界，投資人仍然不做出交易行為，這可能導致交易機會減少且獲利績效不足。本研究提出以下參點：一、若價差超過價差交易上界或低於價差交易下界則執行連續交易的放空或買進價差交易策略，實證結果發現若執行連續交易的放空或買進價差交易策略有更大的獲利空間；二、本研究比較單次交易的放空(Short)或買進(Long)價差交易策略、連續交易的放空或買進價差交易策略與買進持有策略(Buy and Hold)，結果發現單次交易的放空(Short)或買進(Long)價差交易策略與連續交易的放空或買進價差交易策略之績效皆優於買進持有策略。三、資料期間分為四段分別探究共整合關係，發現長期均衡關係建構之價差交易策略有其一定程度的穩定性，並充分填補共整合關係樣本外檢測不足之缺口。

關鍵字

放空價差部位 ； 共整合檢定 ； 交易策略 ； 單根檢定 ； 買進價差部位

並列摘要

This article discusses the cointegration relations in the application of the price spread trading strategy to the Taiwan’s Stock Index Futrues, Electronic Sector Index Futures, Finance Sector Index Futures in Taiwan Futures Exchange. The objective of this study is to identify the cointegration relations among variables during the period , and to apply it in the Short Spread Position and Long Spread Position trading strategies.

Luo (2002) and Chu Xiu Wen (2008) studies showed that if co-integration relations spread over the upper bound or below lower bound of spread trading, the implementation of the single trading strategy of short or long and not entering before clear, its drawback is that no matter the relationship between consecutive days of co-integration spread trading spread still more than the upper bound or below the lower bound of spread trading, investors still do not make the transactions, which could lead to reducing trading opportunities and may also reduce profit performance.

In this study, we bring up three findings: First, if spread over the upper bound or below the lower bound of spread trading , the implementation of the continuous trading strategy of short or long, empirical results show that if the implementation of the continuous trading strategy of short or long will get more profit.

Second, this study, compared the single trading strategy of short or long, the continuous trading strategy of short or long and Buy-and-Hold strategy, found that the single trading strategy of short or long and the continuous trading strategy of short or long are better than the Buy-and-Hold strategy.

Third, the data are subdivided into four sections during the inquiry were co-integration relationship between the long-run equilibrium relationship found that construction of the spread trading strategy has a certain degree of stability, and to fully fill the co-integration relationship between the gap of lack of sample testing.

並列關鍵字

Short Spread Position ； Trading Strategy ； Unit Root Test ； Cointegration Test ； Long Spread Position

參考文獻

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8. 莊育真(2005)。台指與摩台指期貨跨市場價差交易策略研究－採用移動平均法。未出版碩士論文，私立淡江大學財務金融系研究所，台北。

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