運用配對交易於台灣股票期貨之實證研究

An Empirical Study of Applying Pairs Trading on Taiwan Stocks Futures

藍慶芳(Chin-Fang Lan)

指導教授 ： 張阜民 ； 張健邦

朝陽科技大學/管理學院/財務金融系/碩士(2013年)

摘要

隨著我國金融市場邁向國際化，新興商品推陳出新，股票期貨自改制至今已達2年，可看出股票期貨擁有優勢的交易條件，能取代股票的交易限制，如融券放空限制、股東會停券等規定，再加上逐漸增加的成交量，因此股票期貨勢必成為市場配對交易的新寵。
在市場，配對交易屬於中性交易策略，起源於 1980 年代的華爾街，至今乃甚為流行，亦是法人機構偏好的交易策略。因配對交易所提供的報酬隨著資訊流通及潛在競爭者的增加下呈現遞減現象，故本研究將配對交易運用於台灣股票期貨市場，以股票期貨公平的交易制度，更低的交易成本，能帶給投資人更佳的絕對報酬。
本文以 2011/07/01~2012/12/31 為樣本期間，並以台灣個股期貨作為配對樣本，分成四季交易期，用以了解四個季節之報酬情況。而本文以 120 天為形成期，其後的 60 天為交易期，當交易期之標準化價差大於形成期時之標準化價差之標準差的2倍及3倍兩種情境時，做為啟動交易的準則，再加上形成期標準化價差為零的次數作為篩選配對的標準，藉此希望提升配對交易的獲利性及穩定度。
經實證後發現，情境一與情境二之報酬各有其消長，配對交易除第3季報酬不如預期外皆有不錯之報酬，探討第3季可能因個股除權(息)效應，影響個股期貨配對交易，建議投資人可避開此段交易期。

關鍵字

配對交易 ； 中性交易 ； 股票期貨 ； Zero Crossing

並列摘要

As our financial markets stride toward internationalization, product innovation emerges all the time. Stock futures restructuring has now been two years. According to the growth of its turnover, participants are growing year after year. Because of its advantageous trading conditions, it can replace the stock trading restrictions, such as eliminating the up-tick restrictions, ceasing the short sale trading rules of the shareholders meeting. That will become the new darling of the market pairing.
Pairs trading is one of the market neutral trading strategies, originated in the 1980s on Wall Street. It has been very popular so far, and is also a trading strategy preference for Institutional Investor. Owing to the profit provided by pair trading decreasing via information flow as well as the increasing of potential competitors, the study uses pairs trading in Taiwan stock futures market. In this fair stock futures trading system, lower transaction costs can give investors a better absolute return.
In this research, the sample period is from July 1, 2011 to December 31, 2012. We use Taiwan stock futures as pairing samples which are divided into four seasons as trading period for understanding four seasons remuneration. In this paper, we take 120 days as the formation period and the following 60 days period as the trading period. When the standardized spread of trading period reaches 2 and 3-fold standard deviation greater than the standardized spread of formation period, it can be the criteria for starting trading. Coupled with standardized spread of formation period is zero as the standards of screening pairing, which we hope to enhance the profitability and stability through pairs trading.
The empirical results revealed that the remuneration of situation one and situation two contain their own fluctuations. Pairs trading provides great remuneration in every season except the third one. It could be stock exclude dividend effect affecting pairs trading of stock futures. Investors are advised to avoid this trading section.

並列關鍵字

Zero Crossing ； stock futures ； pairs trading ； neutral trading

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