考慮基差到期日收斂不確定性之投資策略

管培鈞

doi:10.6840/CYCU.2010.00303

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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 , Masters　　Advisor：張國華　　

英文 DOI： 10.6840/CYCU.2010.00303

基差；指數股票型基金(ETF) ；收尾誤差；技術分析； Exchange Traded Funds (ETF) ； Error of tail convergence ； Basis ； Technical analysis

Abstract │ Reference (40) │ Altmetrics

Abstract 〈TOP〉

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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.

Reference ( 40 ) 〈TOP〉

[1] Beaulieu, M. C. (1998) ” Time to Maturity in the Basis of Stock Market Indices:Evidence from the S&P 500 and the MMI,” Journal of Empirical Finance, Vol.5, 177-195.
連結：
[2] Bhatt, S. and Cakiki, N. (1990) ” Premiums On Stock Index Future-Some Evidence,” The Journal of Futures Markets, Vol. 10, No. 4, 367-375.
連結：
[3] Castelino, M. G. (1992) ” Hedge Eﬀectiveness:Basis Risk and Minimum-Variance　Hedging,” The Journal of Futures Markets, Vol. 12, No. 2, 187-201.
連結：
[4] Castelino, M. and Francis, J. (1982) ” Basis Speculation in Commodity Futures:The Maturity Eﬀect,” The Journal of Futures Markets, Vol. 2, No. 2, 195-206.
連結：
[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.
連結：

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