博碩士論文 etd-0526115-101011 詳細資訊


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姓名 柯善耀(Shan-yao Ke) 電子郵件信箱 E-mail 資料不公開
畢業系所 財務管理學系研究所(Finance)
畢業學位 碩士(Master) 畢業時期 103學年第2學期
論文名稱(中) 採用關連式結構模型執行配對交易在台灣股票市場
論文名稱(英) Pairs trading with copula approach in Taiwan
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  • etd-0526115-101011.pdf
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    紙本論文:5 年後公開 (2020-06-26 公開)

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    摘要(中) 配對交易為一種廣為人知的數量化投資策略,Liew and Wu (2013) 將關聯式結構模型應用在配對交易策略上,關聯式結構模型可以清楚地捕捉兩資產間的關係,不論資產報酬是否服從常態分配。
    本文主要目的在於找尋適合關聯式結構模型的配對,來建構陪對交易策略的投資組合,以及提出一種停損機制來改善投資組合的績效。我們使用台灣證券交易所2003年1月到2013年6月的股價日資料進行實證研究,此資料經由台灣新報資料庫(TEJ)取得。我們發現選擇高一致性並且在同一產業的配對具有不錯的獲利表現,而加入停損機制後,平均年報酬將可以從7.6%提升至9.6%。此外,本文利用相同的標的股票,來比較採用距離法與關聯式結構模型的優劣在執行配對交易之上。
    摘要(英) Pairs trading is a popular quantitative investment strategy in the finance industry. Liew and Wu (2013) propose a new approach for pairs trading. This study focuses on how to use a copula function to construct a pairs trading portfolio, including suitable pairs selection and stop loss framework.
    This study applies a copula function to the pairs trading strategy with daily data over the period from January 2003 to June 2013 in the Taiwan Stock Exchange (TWSE). We choose high dependence pairs and restrict two stocks to belong to the same industry and use the copula approach that is proposed by Liew and Wu (2013) to identify the relative position between two stocks and decide the transaction threshold. By doing this, the return of our portfolio is 7.6% and standard deviation is 0.17 from January 2005 to June 2013.
    Furthermore, we also test the stop loss framework. If the conditional probability stays in the extreme region too long, it will be considered that the stable relationship between two stocks dies away and we will close the position to avoid a huge loss. Stop loss framework can significantly increase profitability. The annual return increases from 7.6% to 9.6%.
    關鍵字(中)
  • 市場中立
  • 關聯式結構模型
  • 配對交易
  • 統計套利
  • 交易策略
  • 關鍵字(英)
  • Market Neutral
  • Pairs Trading
  • Copula
  • Statistical Arbitrage
  • 論文目次 CONTENTS
    論文審定書 i
    誌謝 ii
    摘要 iii
    ABSTRACT iv
    Index of Tables v
    Index of Figures vi
    I. INTRODUCTION 1
    1.1 Background information 1
    1.2 Research objective 4
    1.3 Research structure 5
    II. LITERATURE REVIEW 7
    2.1 Original strategy 7
    2.2 Different scenario analysis 10
    2.3 New approach in pairs trading 12
    III. METHODOLOGY 14
    3.1 Data 14
    3.2 Copula approach 15
    3.3 Pairs formation 17
    3.4 Trading period 20
    3.5 Performance evaluation 23
    IV. EMPIRICAL RESULTS 25
    4.1 Concordance analysis 26
    4.2 Industry analysis 31
    4.3 Stop loss analysis 34
    4.4 Compare copula approach with traditional distance approach 39
    V. CONCLUSIONS 42
    5.1 Pairs selection analysis 43
    5.2 Stop loss analysis 44
    5.3 Comparison analysis 45
    5.4 Recommendation for future research 45
    參考文獻 Andrade, S., V. di Pietro, and M. Seasholes. 2005. “Understanding the Profitability of Pairs Trading.” Working paper, University of California, Berkeley, and Northwestern University.
    Do, B. and R. Faff. 2010. “Does Simple Pairs Trading Still Work?” Financial Analysts Journal, Volume 66, Issue 4, pp. 88–95.
    Gatev, E., W. Goetzmann, and K. Rouwenhorst. 1999. “PairsTrading: Performance of a Relative Value Arbitrage Rule.” Working paper, Yale School of Management.
    Gatev, E., W. Goetzmann, and K. Rouwenhorst. 2006. “Pairs Trading: Performance of a Relative-Value Arbitrage Rule.” Review of Financial Studies, Volume 19, Issue 3, pp. 797–827.
    Hong, G., and R. Susmel. 2003. “Pairs-Trading in the Asian ADR Market.” Working paper, Saginaw Valley State University, and University of Houston.
    Liew, R. Q., & Wu, Y. 2013. “Pair trading: A copula approach.” Journal of Derivatives & Hedge Funds, Volume 19, Issue 1, pp. 12–30.
    Nicolas Huck. 2010. “Pairs trading and outranking: The multi-step-ahead forecasting case” European Journal of Operational Research, Volume 207, Issue 3, pp. 1702–1716
    Papadakis, G., and P. Wysocki. 2007. “Pairs Trading and Accounting Information.” Working paper, Boston University School of Management and MIT Sloan School of Management.
    Perlin, M. 2007. “M of a Kind: A Multivariate Approach at Pairs Trading.” Working paper, Reading University.
    Perlin, M. 2009. “Evaluation of Pairs Trading Strategy at the Brazilian Financial Market.” Journal of Derivatives and Hedge Funds, Volume 15, Issue 4, pp. 122-136.
    Vidyamurthy, G. 2004. Pairs Trading, Quantitative Methods and Analysis, John Wiley & Sons, Canada.
    Yu, F. 2006. “How Profitable Is Capital Structure Arbitrage?” Financial Analysts Journal, Volume 62, Issue 5, pp. 47–62.
    口試委員
  • 臧仕維 - 召集委員
  • 鄭義 - 委員
  • 蔡維哲 - 指導教授
  • 口試日期 2015-05-28 繳交日期 2015-06-26

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