隨著 2020 年疫情肆虐全世界，中美貿易戰、科技戰開打，全球現處於一個不 確定的環境，投資市場與產業變數巨大，因此本研究希望可以運用多空配合的交 易策略，為投資人建立一個簡單且中性風險的配對交易策略，協助投資人在如此 動盪不安的環境中，承受較低的風險同時也獲得穩定報酬。

本研究從 2010 年 1 月 1 日起至 2020 年 12 月 31 日止為樣本期間，並以台灣 近年來表現較佳的產業之所屬股票為研究標的，共計約 50 檔股票，分別作配對。 以距離法與共整合檢定進行選股，最後選出六組股票對，經實證後發現， 就方 法而言，距離法選出之股票對獲利表現較佳;就產業而言，半導體產業的報酬表 現較佳，綜合上述，以距離法選出且屬半導體產業之股票對聯陽 (3014)與福懋科 (8131)此配對，總報酬率高達 23.30%，為六組配對中報酬表現最佳之股票對。

With the prevalence of COVID-19 around the world in 2020, U.S.-China trade war and technological wars have begun, the world is now in an uncertain environment, and the investment market and industries are extremely variable. Therefore, this research hopes to use long-short trading strategies for investors. Establish a simple and neutral risk matching trading strategy to assist investors in such a turbulent environment, to withstand lower risks and obtain stable returns.

This study is the sample period from January 1, 2010 to December 31, 2020, and uses stocks belonging to industries that have performed better in recent years in Taiwan as the research target. A total of about 50 stocks are matched. The distance method and the cointegration test are used to select stocks. Finally, six stock pairs are selected. After empirical research, it is found that the stocks selected by the distance method perform better. In terms of industry, the semiconductor industry performance preferably. Based on the above, the stock pair Lianyang (3014) and Fu Maoke (8131), which are selected by the distance method and belong to the semiconductor industry, have a total return of 23.30%, which is the best-performing stock pair among the six pairs.

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