臺灣博碩士論文加值系統

本文主要目的是利用配對交易具有均數復歸的特性，捕捉此特性並觀察其交易績效；此研究的配對交易策略主要參考Gatev, Goetzmann, and Rouwenhorst (1999)，雖然他們使用的交易策略簡單明瞭，卻可以獲得相當不錯的報酬，經過了15年，我們重新測試了此策略，並且額外做了一些模型的延伸。
我們使用台灣證券交易所2002年1月到2013年12月的調整後股價日資料，此資料經由台灣新報資料庫(TEJ)取得，交易策略方面主要參考Gatev, Goetzmann, and Rouwenhorst (2006)，此外還做了約略7種的交易策略探討，其中主要分成兩部分，首先是在交易期間設置不同的進出場門檻，例如我們在交易策略中加入了可以有效提升勝率的停損機制；另一部份，我們花較多心力在「如何選擇好的配對」，經由實證結果可知，使用兩階段策略所挑選出的配對具有較好的績效表現，由2010年1月到2013年12月的測試可得年化報酬2.39%以及標準差0.1770。

The original research was conducted by Gatev, Goetzmann, and Rouwenhorst (1999) in which they used a very simple pairs trading rule to make a profit. After 15 years I test this strategy and extend this model in the Taiwan market.
In this study I perform a “pairs trading” strategy based on a comparative mean reversion of asset prices with daily data over the period January 2002 to December 2013 in the Taiwan Stock Exchange (TWSE). Our strategy depends on Gatev, Goetzmann, and Rouwenhorst (2006) and extends to several different strategies. There are two major parts in my research; first I set different thresholds in the trading periods and I observe that stop loss conditions can efficiently increase probability of earning a profit. Second, I focus more effort on how to select better pairs in the formation period, and subsequently examine a two-step method to select pairs. Finally, the results indicate that pairs produced a p.a. rate of return of 2.39% and standard deviation of 0.1770 for the period from January 2010 to December 2013.

ABSTRACT................................................................................................................ iv
I. INTRODUCTION................................................................................................ 1
1.1 Background Information.................................................................................... 1
1.2 Research Objective........................................................................................... 3
1.3 Research Structure............................................................................................ 4
II. LITERATURE REVIEW..................................................................................... 5
2.1 Original Strategy................................................................................................ 5
2.2 Different Scenario Analysis.............................................................................. 8
III. METHODOLOGY.............................................................................................. 12
3.1 Data.................................................................................................................... 12
3.2 Pairs formation.................................................................................................. 13
3.3 Trading period................................................................................................... 17
3.4 Performance evaluation................................................................................... 20
IV. EMPIRICAL RESULTS.................................................................................... 22
4.1 Basic analysis................................................................................................... 23
4.2 Threshold analysis............................................................................................ 25
4.2.1 Timing of open position........................................................................... 25
4.2.2 Stop loss threshold.................................................................................. 26
4.2.3 Range of open threshold......................................................................... 28
4.3 Selection analysis........................................................................................... 31
4.3.1 Factors analysis....................................................................................... 32
4.3.2 Industry analysis....................................................................................... 38
4.4 Regression analysis........................................................................................ 42
4.5 Summary........................................................................................................... 44
V. CONCLUSIONS........................................................................................... .... 49
5.1 Formation period analysis............................................................................... 50
5.2 Trading period analysis..................................................................................... 51
5.3 Recommendation for future research.............................................................. 51
REFERENCES......................................................................................................... 54

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