(3.236.100.6) 您好!臺灣時間:2021/04/24 02:30
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

我願授權國圖
: 
twitterline
研究生:謝承達
研究生(外文):Hsieh,Cheng-Ta
論文名稱:TheApplicabilityofPairsTradinginTaiwanStockMarket
指導教授:郭維裕郭維裕引用關係
指導教授(外文):Kuo,Weiyu
學位類別:碩士
校院名稱:國立政治大學
系所名稱:國際貿易研究所
學門:商業及管理學門
學類:貿易學類
論文種類:學術論文
畢業學年度:94
語文別:英文
論文頁數:64
外文關鍵詞:Pairs trading
相關次數:
  • 被引用被引用:1
  • 點閱點閱:144
  • 評分評分:系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
How one can get a big fish in the stock market is an intriguing question with no answer. With the assumption of market inefficiency, we design technical trading strategies based on pairs trading which was well known by Wall Street to capture the big fish. A pair is composed of a security over anther, and we attempt to make the pair market neutral. We test the profitability of several trading rules with daily data during the period from Jan.1, 2002 to Mar.31, 2005. We also test the one price law of ADRs, during the sample period from 1996 Jul. to 2005 Apr. We find that the performance of the Moving Average Model is better. In particular, in the Moving Average Model the top 10% trading pairs make an average lucrative 2.07 % return in K5-10 model, 2.95 % return in K5-15 model, and 3.55 % in K5-20 model.
Abstract…………………………………………………...………………1
Ⅰ.Introduction………………………………………...…………………2
Ⅱ.Data…………………………………………...……………………….5
Ⅲ.Methodology………………..…………………………………............6
Ⅳ.Empirical results……………..………………………………………10
Ⅳ.1 Strategy profits………………………………………………….....10
Ⅳ.1.1 Taiwan Stock market…………………………………………….10
Ⅳ.1.2 Dual markets………………………………………….……….....11
Ⅳ.2 Trading statistics…………………………………………………...12
Ⅳ.2.1 Average return per trade by pair type..……………….………….12
Ⅳ.2.2 Average hit ratio by pair type…………………………………....13
Ⅴ.Conclusion and recommendation…………………….……….……..14
Ⅴ.1 Conclusion………………………………………….………….…..14
Ⅴ.2 Recommendation………………………................………………..15
Reference…………………………………………….………………….17
Table………………………………………………….…………………18
Appendix…………………………………………….………………….27
�� Bakshi, Gurdip and Zhiwu Chen,1997, “Stock Valuation in Dynamic Economics,” working paper, Ohio State University.
�� DeBont, Werner and Richard Thaler, 1985, Does the stock market overreact? , Journal of Finance 40,793-805.
�� DeBont, Werner and Richard Thaler, 1987, Further evidence on investor overeation and stock market seasonality, Journal of Finance 42,557-581.
�� Evan G. Gatev, William N. Goetzmann, and K. Geert Rouwenhorst, 1999 ”Pairs trading: Performance of a relative value arbitrage rule ” NBER working paper No. 7032.
�� Ganapathy Vidyamurthy, Pairs Trading: Quantitative Methods and Analysis, published by John Wiley & Sons, Inc.
�� Hong, and Susmel, 2003, “Pairs-Trading in the Asian ADR market”, Saginaw Valley State University.
�� Jehadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to buying winners and Selling Losers: Implications for stock market efficiency, Journal of Finance 48, 65-91
�� Jegadeesh, Narasimhan, and Sheridan Titman, 1995, Overreaction, Delayed Reaction, and Contrarian Profits, The Review of Financial Studies Vol.8 No. 4, 973-93
�� Tony Lee, Alex Ypsilanti, and Daniel Lam, 2004, “Statistical Pair Trading: Performance Analysis of a Portfolio of Pair Trades in Asia Pacific ex-Japan,” Merrill Lynch.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
系統版面圖檔 系統版面圖檔