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系統識別號 U0002-0706200617371300
中文論文名稱 台指與摩台指期貨跨市場價差交易策略研究-採用移動平均線法
英文論文名稱 Intra-commodity spreads strategy about Taifex and Simex-Moving average method
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 94
學期 2
出版年 95
研究生中文姓名 莊育真
研究生英文姓名 Yu-Chen Chuang
學號 693490384
學位類別 碩士
語文別 中文
口試日期 2006-05-19
論文頁數 69頁
口試委員 指導教授-謝文良
委員-李進生
委員-鐘惠民
委員-林允永
中文關鍵字 價差交易  移動平均線 
英文關鍵字 SPREADS  MOVING AVERAGE 
學科別分類 學科別社會科學商學
中文摘要 期貨商品間價差交易最常採用移動平均線來判斷合理價差區間,以避免因為兩不同市場期貨契約規格以及匯率上的差異,造成合理價差的估計誤差。本文針對台指期貨與摩台指期貨契約,以多種評估方式選擇出適合衡量兩契約合理價差區間之移動平均天數,以及合理區間標準差的範圍。此外並制定數種不同價差交易策略,根據各策略價差交易結果,探討何種交易策略能獲得較高的價差報酬。

實證結果顯示,第一:移動均線天數越長,採用判斷價差偏離的合理區間也應越大,以便更有效率的獲得價差報酬。此外,合理區間範圍取得越大,所得到的價差交易機會越少。而當移動天數增加,價差交易次數並沒有顯著隨之增加。第二:在價差交易策略制定上,長短天期價差波動性對價差獲利有很大的影響。對投機者而言,考量價差波動性後,能更有效率的判斷出價差偏離的訊號,並獲得較高的價差報酬。第三:計算交易成本後,此兩期貨契約價差交易仍存在獲利機會,代表台灣與新加坡商品間價差交易市場不效率,投資人可以從中獲得投機報酬。
英文摘要 It is very common to use Moving Average Method to determine reasonable intervals of intra-commodity spreads, which can avoid the estimating inaccuracy because of the differences between the clauses of foreign contracts in two different markets as well as the differences of foreign exchange rates. This dissertation focuses on using various measuring methods to determine favorable days of moving average of intra-commodity spreads and the ranges of standard deviation of intervals for Taifex and Simex. Beside, the dissertation is also trying to find out higher payoff of spreads by setting up several different strategies of the transaction of intra-commodity spreads and basing on different results of these strategies.

Empirical results are as follow: First of all, in order to acquire payoff of spreads more efficiently, the more the moving average days are, the bigger the reasonable spreads intervals should be determined. The opportunities of the transaction of intra-commodity spreads will decrease when the rational range of intervals is bigger. Furthermore, there is no significant increase of times of spreads when the moving average days increase. Secondly, for building up the strategies of the transaction of intra-commodity spreads, the spreads variance of different days have deep impact on the payoff of spreads. For investors, after considering spreads variance, they can determine the signals of spreads more efficiently and acquire a higher payoff of spreads. Thirdly, after calculating the transaction costs, if the transaction of spreads still exists, it means that it is inefficient in the spreads market of commodities between Taiwan and Singapore. Investors can gain profits from the spreads.
論文目次 第一章 緒論
第一節 前言 1
第二節 研究動機 3
第三節 研究目的 3
第四節 研究架構與流程 4
第二章 相關文獻探討
第一節 價差交易 6
第二節 合理價差區間的衡量 8
第三節 進行跨市場價差交易需衡量的因素與風險 16
第三章 研究方法
第一節 實證架構與流程 24
第二節 實證模型 26
第四章 樣本期間與實證結果
第一節 樣本期間 29
第二節 實證結果 30
第三節 價差交易策略 40
第四節 計算交易成本 51
第五章 結論與後續研究建議
第一節 結論 54
第二節 後續研究建議 55
參考文獻 56
附 錄 60
表 次 目 錄

【表4-1】單根檢定 32
【表4-2】共整合檢定 32
【表4-3】價差交易次數 37
【表4-4】價差交易區間機率 38
【表4-5】價差交易獲利表一 38
【表4-6】價差交易獲利表二 39
【表4-7】價差交易獲利表三 39
【表4-8】價差交易持有部位天數 40
【表4-9】選取結果表 41
【表4-10】進出場機制 43
【表4-11】價差交易次數 43
【表4-12】各交易策略下的價差獲利 49
【表4-13】各交易策略下的價差部位持有天數 50
【表4-14】納入交易成本前後之比較 54


圖 次 目 錄

【圖1-1】研究流程 5
【圖3-1】價差偏離值 24
【圖3-2】實證流程 25
【圖4-1】1998年-2005年價差走勢 29
【圖4-2】2003年1月2日至2005年11月22日價差走勢 30
【圖4-3】時間序列 31
參考文獻 國外文獻
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8. Dutt, H., Fenton, J.F., Smith, J., and Wang, G.H.K.(1991), "Empirical Analysis of Crop Year Spreads in Selected Agricultural Futures Markets", Memorandum, Division of Economic Analysis, Commodity Futures Trading Commission,

9. Engle, R.F. and Granger,W.J.(1982),"Co-integration and error correction: Representation, estimation, and testing", Econometrica. Pg.251-276

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11. Geoff Poitras. (1989): "Optimal Futures Spread Positions", The Journal of
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12. Poitras Geoff ;Albert Teoh (2003): "The crack spread: Day trading
the oil futures complex", Derivatives Use, Trading & Regulation ; pg. 102.

13. Girma, P. B. and Paulson, A. S. (1999) "Risk arbitrage opportunities
in petroleum futures spreads, " The Journal of Futures Markets, pg.831-955.

14. Dull Hans R ; John Fenton; Jonathan D Smith; George HK Wang(1997),
"Crop .year influences and variability of the agricultural futures spreads", The Journal of Futures Markets (1986-1998) , pg. 341.

15. Heal ,G., and Barrow,M(1980): "The Relationship Between Interest Rates and
Metal Price Movements", Review of Economic Studies,47:161-181

16. Board John, Charles Sutcliffe(1996), "The dual listing of stock index futures:
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18. Mahmoud Wahab; Richard Cohn; Malek Lashgari (1994), "The Gold-Silver Spread: intergation, cointergation, predictability, and ex-ante arbitrage", The Journal of Futures Markets (1986-1998); pg. 709-756

19. Mahmoud Wahab (1995), "Conditional dynamics and optimal spreading
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20. Ma,C.K.(1985), "Spreading Between the Gold and Silver Markets : Is
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22. Neal Blue E; Marvin L Hayenga; Sergio H Lence; Dean Baldwin E
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23. Peterson, R.(1977), "Investor Preferences for Futures Straddles",Journal of Financial and Quantitative Analysis, pg.105-120.

24. Phillips, P.C.B., and Perron, P.(1988), "Testing unit root in time series regression", Biometrica, pg.335-346.

25. Poitras,G.(1990), "The Distribution of Gold Futures Spreads", The Journal of Futures Markets. pg.643-659.

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29. Simon, D.(1999). "The Soybean Crush Spreads: Empirical Evidence and Trading Strategies." The Journal of Futures Markets.,vol.19. pg.271-289.

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中文參考文獻
1. 李孝忠(2002),「雙重上市之價差套利市場效率性研究」,碩士論文,逢甲大學企業管理所。

2. 李中彥、楊榮仁、羅明正、李章嘉(2002),「台股與摩根指數期貨價差交易策略之研究」,萬能商學學報。Pg.103-116

3. 林世釧(2003),「台灣股價指數現貨、期貨及摩根台灣股價指數期貨到期效應之研究」,碩士論文

4. 林美智(1998),「台股指數期貨與現貨套利及跨市場價差交易實証研究」,碩士論文,國立台灣大學財務金融學研究所。

5. 邱宜瑤(2003),「台股指數期貨價差交易與套利策略之實證研究」,碩士論文,國立高雄第一科技大學財務管理所。

6. 陳其緯(1996),「台股指數期貨套利之實証研究」,碩士論文,國立台灣大學商學研究所。

7. 陳嘉琳(2003),「買賣價差之分解-比較摩根台股指數期貨與台灣股價指數期貨」,碩士論文,國立高雄第一科技大學財務管理所。

8. 黃銘煌(1999),「TAIFEX與SIMEX台股指數期貨跨市場價差交易策略之研究」,碩士論文,國立台灣大學商學研究所。

9. 楊世靖(1999),「台股期貨套利與市場間交易之可行性分析」,碩士論文,國立台灣大學財務金融學研究所。

10. 劉凱萍(1999),「台指期貨價差交易之研究」,碩士論文,淡江大學財務金融學研究所。

11. 盧楊正、謝文良(2000),「台灣指數期貨市場價差交易策略與匯率風險分析」,台灣期貨市場
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