臺灣博碩士論文加值系統

一般迴歸假設變異數為固定數值，但眾多實證研究顯示，金融相關之時間序列資料呈現異質變異的現象，而Brown and Cliff (2004)投資人樂觀程度的高低，與股價的高低估成正比。因此，本文欲利用GARCH模型，補捉股價指數以及交易所交易共同基金(Exchange Trade Fund; ETF)報酬之異質變異特性，建立技術分析指標—布林通道(Bollinger Bands)並搭配投資人情緒之VIX指數及P/C Ratio，應用於台灣指數期貨與台灣50ETF所建構之價差部位，檢視利用布林通道所建構之價差交易策略之績效表現。
研究結果顯示，只單一考慮在不同移動平均下，搭配異質變異所建構之布林通道帶寬，以30MA、60MA和90MA相較於20MA和180MA，適合作為參數上之設定。當加入投資人情緒指標之VIX指數及P/C Ratio作為二為篩選時，績效表現有顯著之提升。

The general regression assumes that the variance is a fixed number, but many empirical studies show that the financial-related time series data show heterogeneous variation, and Brown and Cliff (2004) said investors optimistic level, and the stock price is proportional. Therefore, this paper wants to use the GARCH model to make up the returns of stock price index and exchange trading fund of the heterogeneous variation characteristics to establish technical analysis indicators - Bollinger Bands and then match investor sentiment which are VIX and P / C Ratio to apply the spread of the site which is constructed by Taiwan index futures and Taiwan 50ETF, and view the performance.
The results show that the width of Bollinger Bands constructed by heterogeneous variation compared with different moving average (MA), we can conclude 30MA, 60MA and 90MA are better 20MA and 180MA to be set as the parameter. When the VIX index and P / C Ratio of the investor's emotional indicators were added, the performance was improved significantly.

目錄
摘要 i
Abstract ii
目錄 iii
圖目錄 v
表目錄 vi
第一章　緒論 1
1.1　研究背景 1
1.1.1台灣期貨演進 2
1.1.2 ETF介紹 5
1.2　研究動機與目的 8
1.3 論文架構 10
第二章　文獻探討 12
2.1套利交易 12
2.2布林通道 14
第三章　研究方法 17
3.1 研究資料 17
3.2 布林通道 17
3.2.1期貨與現貨價差之建立 18
3.2.2 布林通道之建立 19
3.3一般化自我相關條件異質變異模型 21
3.4資料的穩定性 23
3.5交易策略 27
3.6績效之評估 29
3.6.1平均獲利金額 29
3.6.2勝率 29
第四章　實證分析 30
4.1 統計資料 30
4.2 績效表現 32
4.2.1 單一交易策略 32
4.2.2 交易策略搭配VIX指數 34
4.2.3 交易策略搭配P/C Ratio 41
第五章　結論與建議 46
5.1 結論 46
5.2 建議 47
參考文獻 48

參考文獻
英文文獻

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中文文獻

李正斌(2000)，「TAIFEX 台股指數與類股指數期貨價差交易之研究」，碩士論文，國立台灣大學財務金融研究所

李惟哲(2009)，「包寧傑帶狀指標買賣訊號之評估以台灣股市為例 」，碩士論文，逢甲大學財務金融研究所

何宣儀(2000)，「股價指數期貨套利機會分析並驗證國內期貨市場之有效性-以台股、電子、金融 期貨為例」，碩士論文，國立政治大學財務管理研究所

紀朝介(2004) ，「ETFs應用於台股期貨之套利研究」，碩士論文，淡江大學管理科學研究所

邱宜瑤(2004)，「台股指數期貨價差交易與策略套利之實證研究」，碩士論文，國立高雄第一科技大學財務管理所

許尹騰(2011)，「不同時期下包寧傑帶狀交易策略之績效實證-以台灣50ETF為例」，碩士論文，國立屏東科技大學財務金融研究所

陳岱祐(2013)，「台灣指數期貨與 ETF 價差交易之研究-以台股期貨、電子期貨、金融期貨與台灣 50ETF 為例」，碩士論文，國立交通大學財務金融研究所

楊奕農，時間序列分析：經濟與財務上之運用，二版，雙葉書廊，台北市，民國100年