考慮基差到期日收斂不確定性之投資策略

The Study of Investment Strategy Considering The Uncertainty of The Convergence of Basis at Maturity Date

管培鈞(Pei-Chun Kuan)

指導教授 ： 張國華

中原大學/電機資訊學院/工業與系統工程研究所/碩士(2010年)

https://doi.org/10.6840/cycu201000625

摘要

期貨市場原為避險所用，但其存在套利機會，投資者可藉由基差在現貨與期貨中反向操座而得到利潤；基差為現貨價格減去期貨價格，是期貨市場中非常重要的資訊，理論上在到期日當天基差應為0，因此利潤即為當初進場時的基差，但現實中到期日當天的基差並不為0，存在著收尾誤差，可能造成投資者在平倉時獲利非預期，因此我們希望能夠找到先期指標，供投資者當作依據，以增加套利機會，以及從套利獲得更多利潤；技術分析為應用統計原理，針對歷史資料產生數字及圖形指標，廣泛的運用在金融市場中，其中隨機指標(KD)與相對強弱指標(RSI)為普遍受投資者使用的指標，KD值為價的指標，RSI值為量的指標，我們認為收尾誤差會與此兩者相關，因此選此二指標作為先期指標。
　　從到期日當天基差的歷史資料發現，其服從一般分配，因此我們對基差做信賴區間，並設立一個希望利潤門檻，當信賴區間超過此門檻時，以先期指標作判斷依據，配合策略進場或選擇不進場；因為大盤不能買賣，我們使用指數股票型基金(ETF)代替大盤與期貨操作實證，並探討策略獲利情形。

關鍵字

基差 ； 指數股票型基金(ETF) ； 收尾誤差 ； 技術分析

並列摘要

Though future market is originally used for hedge, investors can still get profit from the operation in reverse direction between spot and future　according to basis due　to the existence of　arbitrage opportunities. Basis is spot price minus futures price,and deemed as very important　information in future market. Theoretically, basis in　maturity should be 0. Thus, the profit should be the basis as enter the market at　the beginning. However, in reality, basis in maturity doesn’t equal to 0. Error of tail　convergence　exists and possibly causes profit not to reach　expectation of investors　when offset. Hence, we　want to find the priority signal indexes whose　emergence can　provide reference for investors to increase arbitrage opportunities, and to get more profit in arbitrage opportunity. Being a　method widely used in financial market, technical analysis applies statistical principles into　producing numbers and graphs indices　according to historical data, among which, stochastics (KD) and relative strength　index (RSI) are indices commonly adopted by investors. Stochastics (KD)　value is　price index and relative strength index (RSI) is quantity index. We thought that the　error of tail convergence is associated with price and quantity, so choose these two　indices as the priority signal indexes.
According to historical data of basis in maturity, it says basis conforms to normal　distribution.　Thus, we establish confidence interval for basis and one expected　profit threshold. When　confidence interval exceeds such threshold, we　will make judgment　through priority signal　indexes and choose entering the market or not.　Because　market can’t be traded, we will replace market by Exchange Traded Funds (ETF)　and conduct empirical operation on future and then discuss　strategic profiting cases.

並列關鍵字

Exchange Traded Funds (ETF) ； Error of tail convergence ； Basis ； Technical analysis

參考文獻

[5] Chen, Y. H. (2006) ” The Study for Tail Behavior of Basis and the Investment　Strategies under Extreme Value Theory,” Master thesis, Chung Yuan Christian　University.

[8] Chien, M. H. (2004) ” An Alternative Approach of Taiwan Stock Index Futures

[15] Liu, T. S. (2009) ” The Application of KD and MACD Technical Indexes in the　Selection of Hedging Timing: Evidence from the Hedging of Taiwan Stock Index　Futures,” Master thesis, Feng Chia University.

[7] Chi, C. J. (2004) ” A Study of ETFs in Arbitrage of Taiwan Stock Index Futures,”　Master thesis, Tamkang University.

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