配對交易(pairs trading)又稱為價差交易或統計套利交易,它提供投資人在兩種相關性資產間的交易契機,而所依循的價格數理邏輯很簡單,只要兩種資產(或股票)在價格上具備高度相關,假設它們股價數學關聯性會持續存在,縱使短期這數學關係中斷,經過一段時間後必將恢復,而中斷的時間點就存在套利交易的空間。 本文以 2005/06/01~2014/09/30 為樣本期間,並以台灣 50及中型100指數成分股做為配對樣本,經實證後發現,配對交易不論以何種選股策略選取配對,在多頭時期較可提供投資人優於臺灣銀行一年期定存利率之報酬,也驗證了配對交易策略其報酬率有明顯逐期下降趨勢,並證實了市場隨著時間的經過越效率及機構法人競爭增加的現象。
Pairs Trading is also known as Spread Trades or Statistical Arbitrage Trades, it provides investors trade opportunities between two correlate assets. The logic is simple to understand as long as the two assets (or stocks) have high correlation. It is assumed that the mathematical correlation will continuously exist of the stock price. Even if the correlation interrupts for a short term, the correlation is definitely to recover after a period of time. The statistical arbitrage trade will emerge in the interrupt period. The study adopted the sample in TSEC Taiwan 50 and Taiwan Mid-Cap 100 Index from 1 June 2005 to 30 September 2014. The empirical study shows that no matter which methods were adopted to choose the pairs when conducting the pairs trading, the investors get better rewards than the one being provided by Taiwan Bank one year fixed deposit in the period of bull market. The study indicates that the return rate gets decreased by using the pairs trading strategy. On top of that, the trade market is getting more efficient as time goes by and the institutional investors’competition is getting keener and keener.