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| 研究生： |
謝承達 Hsieh,Cheng-Ta |
|---|---|
| 論文名稱： |
The Applicability of Pairs Trading in Taiwan Stock Market |
| 指導教授： |
郭維裕
Kuo,Weiyu |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 國際經營與貿易學系 Department of International Business |
| 論文出版年： | 2005 |
| 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： | 點閱：114 下載：0 |
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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
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□ 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.
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