ETF價差策略的獲利性分析-以0050與0056為例

Profitability of Spread Strategy for Trading ETFs 0050 and ETFs 0056

蔡承佳(Cheng-Chia Tsai)

指導教授 ： 倪衍森

淡江大學/商管學院/管理科學學系企業經營碩士在職專班/碩士(2021年)

https://doi.org/10.6846/TKU.2021.00812

摘要

本研究以台灣50及台灣高股息ETFs為研究對象，並探討這些ETFs價差策略的獲利性分析，同時與長期持股策略做一比較。本研究發現介入0050ETFs，近3年採用價差策略，其獲利為9.76%，然而在長期投資策略則有18.6%；是以我們發現投資0050ETFs，長期持有策略更甚於價差投資策略。然而若以0056ETFs為研究標的，則價差投資的策略獲利有優於長期持有策略的可能性。綜整上述實證結果，本研究發現0050適合長期持有，然而0056反而可將價差策略納入考量，上述實證結果應有助於投資人介入此二檔相當受到台灣投資人所重視的投資標的。

關鍵字

價差策略 ； 長期持有 ； 投資策略

並列摘要

By employing ETFs 0050 and ETFs 0056 as our investigated samples, we explore whether adopting spread trading for such ETFs would have better performance as compared with long term investments. We then reveal that 9.76% returns are shown for spread trading ETFs as compared with 18.6% returns for long-term investment, indicating that long-term investment strategies would be better than spread trading strategies. However, while trading ETFs 0056, we show that the performance of adopting spread trading strategies might not worse off those of long-term investment strategies. These revealed findings would be beneficial for investors in investing ETFs 0050 and ETFs 0056 regarded as rather essential targets for many investors in Taiwan.

並列關鍵字

Spread strategy ； Long-term holding ； Investment Strategy

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