運用乖離率於台灣指數期貨價差交易之實證研究

Abstract

全球近年來由於國際金融、經濟與政治等情勢變化加劇，黑天鵝現象的不確定事件發生頻率驟增，許多利用單一期貨合約之間價格的上下波動賺取利潤的投資人暴露在極大風險之中，遭受巨大損失。因此相較低風險的價差交易由原本只是法人及市場特定投資人所採用的常用交易策略，開始在一般投資人間掀起一股熱潮。由於價差交易是利用相關性高的商品期貨間，在市場發生震盪所形成不合理的價差時，同時進場進行一買一賣的交易策略，著重於相關期貨商品間價格偏離程度。 而乖離率是觀測值偏離趨勢的程度的一種技術指數，因此本研究透由不同乖離天數及標準差取樣天數以找出不合理的價差，以金融期-電子期、金融期-臺指期、電子期-臺指期，三種商品組合進行測試，以確認乖離率用在價差交易的有效性。 實證結果顯示，使用乖離率進行價差交易的買賣策略在各商品組合皆有獲利，以金融期-電子期的獲利最佳。

Due to the drastic changes in current international financial, economic, and political environment, the irregular events, also named as Black Swarm, will occur frequently. Several future investors who focus on the trend trading and earn profits from price fluctuation are exposed in huge risk level. Thus, spread trading strategies, which originally are widely used by institutional investors, become more and more popular for general population. This strategy aims to long and short more than one correlated but different futures simultaneously and profits by irrational price spreads between these financial products. BIAS technical indicator is one of the most important numerical value to describe the future trends in spread trading. This study uses the different parameters of BIAS and standard deviation, in order to find out the best trading strategy. The experimental results show that the proposed system can work effectively and profitably in the combination of Taiwan Electronic Sector Stock Index Futures (TE), Taiwan Financial Sector Stock Index Futures (TF), and Taiwan Stock Exchange Capitalization Weighted Stock Index (TX). The best investing result is done by the spread trading between TF and TE.