臺灣博碩士論文加值系統

配對交易有別傳統投資，以具統計之策略對沖市場風險，由Gatev等人(2006)提出運用最小距離法，於股票群體之標準化價格中尋找最佳配對作為構成期間，得到兩隻歷史股價走勢相近的股票作為投資組合，且對其制定合理進場及出場規則，於交易期間內獲取在價格突然有所異動時所產生的套利空間，為相對保守的投資策略。
本論文嘗試以更積極且大膽的方式，在配對交易策略下，使用研究資料以台灣50成分股之未調整收盤價，以2010年1月1日至2019年12月31日作為研究期間。當期間內個股具有任一數量的遺失值，刪除該檔股票不參與分析，尋找配對交易之最佳配對選擇。在構成期間探討篩選兩隻股票的投資組合前提以足夠的頻繁上下震盪且平均價差趨近於零，作為新的篩選準則，並對新標準所選擇的投資組合以單根檢定檢測是否穩態，刪除非穩態的投資組合，保留前十組作為最終選定之最佳配對，定義交易過程中以不同倍數的標準差作為進場門檻值，且於價差回歸均值時作為平倉規則，在交易期間計算不同門檻及參數調整之情況下的獲利差異，並總結此交易策略是否具有更可觀的獲利空間。

Different from traditional investing strategies, pair trading uses statistical techniques to hedge market risk. Gatev et al. (2006) proposed the minimum distance method in that pairs of stocks with similar historical stock normalized price trends in formation periods are found to form an investment portfolio and to deduce reasonable rules for entering and exiting market. Arbitrage opportunities during the trading period appear when the common price trends break off. It is a relatively conservative investment strategy.
In this paper we attempt a more aggressive argument to employ the pair trading method. During the formation period we use the unit root test to sift out the pairs whose compositions are stationary. Among the stationary pairs ten of them with most frequent up-and-down oscillations but with the average spread close to zero are selected to test their profitability. We enter the market when a pair deviate from its average of the pair composition by a certain multiple of the its standard deviation and close the position when the composition returns to the average. The data used are unadjusted closing prices of the Taiwan 50 Index, dated from January 1, 2010 to December 31, 2019. Any stocks with missing values are eliminated from analysis. Different multiples of standard deviation as market entering threshold and different parameters are compared and see if this trading argument receives more profit.

目錄
第 1 章 緒論...................................................................................................................1
1.1 研究背景 ........................................................................................................... 1
1.2 研究動機與目的 ............................................................................................... 1
1.3 研究架構 ........................................................................................................... 3
第 2 章 文獻探討...........................................................................................................4
2.1 距離方法 ........................................................................................................... 4
2.2 距離法缺點探討 ............................................................................................... 5
第 3 章 研究方法...........................................................................................................6
3.1 構成期間 ...........................................................................................................6
3.1.1 初選配對......................................................................................................6
3.1.2 單根檢定......................................................................................................8
3.2 交易期間 ...........................................................................................................9
3.2.1 定義價差....................................................................................................10
3.2.2 交易策略....................................................................................................11
第 4 章 實證分析.......................................................................................................12
4.1 資料介紹 ......................................................................................................... 12
4.2 交易成本和強制回補 ..................................................................................... 12
4.3 期間長短和參數改變 ..................................................................................... 13
4.4 獲利結果 ......................................................................................................... 13
第 5 章 結論建議........................................................................................................35
5.1 結論 ................................................................................................................. 35
5.2 建議 ................................................................................................................. 36
參考文獻...................................................................................................................... 37

圖目錄
圖 1.1: 過去距離法所選取的兩配對股票示意圖.........................................................2
圖 1.2: 本文所預期選取的兩配對股票示意圖.........................................................2
圖4.1: 一年構成及交易期間價差走勢圖－2013全.........................................................15
圖4.2: 一年構成及交易期間價差走勢圖－2017全..........................................................15
圖 4.3: 一年構成及半年交易期間價差走勢圖－2011上.........................................................20
圖 4.4: 一年構成及半年交易期間價差走勢圖－2011下.........................................................20
圖 4.5: 一年構成及半年交易期間價差走勢圖－2012上.........................................................21
圖 4.6: 一年構成及半年交易期間價差走勢圖－2012下.........................................................21
圖 4.7: 一年構成及半年交易期間價差走勢圖－2013上.........................................................21
圖 4.8: 一年構成及半年交易期間價差走勢圖－2013下.........................................................22
圖 4.9: 一年構成及半年交易期間價差走勢圖－2014上.........................................................22
圖 4.10: 一年構成及半年交易期間價差走勢圖－2014下.........................................................22
圖4.11: 一年構成及半年交易期間價差走勢圖－2015上.........................................................23
圖 4.12: 一年構成及半年交易期間價差走勢圖－2015下.........................................................23
圖 4.13: 一年構成及半年交易期間價差走勢圖－2016上.........................................................23
圖4.14: 一年構成及半年交易期間價差走勢圖－2016 下.........................................................24
圖 4.15: 一年構成及半年交易期間價差走勢圖－2017上.........................................................24
圖 4.16: 一年構成及半年交易期間價差走勢圖－2017 下.........................................................24
圖4.17: 一年構成及半年交易期間價差走勢圖－2018 上.........................................................25
圖 4.18: 一年構成及半年交易期間價差走勢圖－2018 下.........................................................25
圖 4.19: 一年構成及半年交易期間價差走勢圖－2019上.........................................................25
圖 4.20: 一年構成及半年交易期間價差走勢圖－2019下.........................................................26

表目錄
表 4.1: 一年交易期間平均獲利表.........................................................13
表 4.2: 一年交易期間次數表.........................................................14
表 4.3: 半年交易期間平均獲利表.........................................................15
表 4.4: 半年交易期間次數表.........................................................16
表 4.5: 不同參數w於半年交易期間平均獲利變化表.........................................................17
表 4.6: 不同參數w於半年交易期間次數表.........................................................18
表 4.7: 半年交易期間參數w.........................................................19
表4.8: 一年構成及半年交易期間之選取配對－2011上.........................................................26
表4.9: 一年構成及半年交易期間之選取配對－2011下.........................................................27
表 4.10: 一年構成及半年交易期間之選取配對－2012上.........................................................27
表 4.11: 一年構成及半年交易期間之選取配對－2012下.........................................................27
表 4.12: 一年構成及半年交易期間之選取配對－2013上.........................................................28
表 4.13: 一年構成及半年交易期間之選取配對－2013下.........................................................28
表 4.14: 一年構成及半年交易期間之選取配對－2014上.........................................................29
表 4.15: 一年構成及半年交易期間之選取配對－2014下.........................................................29
表 4.16: 一年構成及半年交易期間之選取配對－2015上.........................................................30
表 4.17: 一年構成及半年交易期間之選取配對－2015下.........................................................30
表 4.18: 一年構成及半年交易期間之選取配對－2016上.........................................................31
表 4.19: 一年構成及半年交易期間之選取配對－2016下.........................................................31
表 4.20: 一年構成及半年交易期間之選取配對－2017上.........................................................32
表 4.21: 一年構成及半年交易期間之選取配對－2017下.........................................................32
表 4.22: 一年構成及半年交易期間之選取配對－2018上.........................................................32
表 4.23: 一年構成及半年交易期間之選取配對－2018下.........................................................33
表 4.24: 一年構成及半年交易期間之選取配對－2019上.........................................................33
表 4.25: 一年構成及半年交易期間之選取配對－2019下.........................................................34

薛愛蓉 (2019)，不同距離測度下的配對交易之獲利比較，國立臺北大學統計學 系研究所碩士論文。
楊淑嫻 (2021)，共整合配對於台灣股市之實證研究，國立臺北大學統計學系研 究所碩士論文。
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