台指期貨交易策略探討

Abstract

本論文研製之本文之主題為「台指期貨交易策略探討」，鑑於國內證券市場漸趨成熟，目前股市只有單純「買」或「賣」的操作策略已不能滿足市場多數投資人的實際需要。在期貨市場上，散戶和董監大戶皆站在同一條線上公平競爭，大戶如果不按策略性操作而像散戶般把籌碼押滿，其面臨的風險與散戶般沒有兩樣。相反的，散戶若能靈活操作持盈保泰，不斷從錯誤中學習教訓，隨著知識與經驗的累積，台指期貨市場正好提供一個既能投機、又能避險，更可套利的管道。 本研究將採用以實証研究方法，以台灣股價指數期貨為主體，並加入日的KD值的參考與台灣股價指數期貨的正逆價差，來建立一台灣股價指數期貨交易投資策略，並代入台灣股價指數期貨自1998年12 月 1日起至到 2005 年 11 月 30日止之間的實際成交記錄，以驗証本文所研究台灣股價指數期貨交易投資策略的投資績效。 對投資者而言其更關心投資的報酬率以及投資的風險，在有限度的風險下，以期求取較高的報酬率，因此本研究文以對台灣股價指數期貨運用交易策略為建構模式作深入的分析與探討，希望能提供投資者做投資決策時，在套利的避險交易策略之外，思考另一不同交易策略所需的參考依據。

The topic of this thesis is to develop " A Trading Strategy of Taiwan Stock Weighted Index Futures ". In the light of the maturity of domestic securities market, the "buy" or "sell" on equity is not able to satisfy actual needs of major investors in the stock market. In the Futures Market, the individual investors are on the same position with major shareholders as long as both investors put all their money into the futures market without following a strategy. On the contrary, Taiwan stock weighted index future provides a tool for speculation, hedging or arbitrage if the individual investors constantly accumulated knowledge and experience and learn from the mistakes. The empirical research method is applied to this study. The trading strategy is focused on trading on Taiwan stock weighted index future and executed in accordance with the evaluation model by applying KD (Stochastic Oscillator) and negative and positive basis correlated to Taiwan stock weighted index and evaluate the return and performance by applying the trading strategy into the actual transaction records of Taiwan stock weighted index future from December 1, 1998 to November 30, 2005. To the investors, they are more concerned about their investment return and profit improvement within a limited risk. The study was to construct a model of trading Taiwan stock weighted index futures for in-depth analysis and exploration, hoping to provide investors a different trading strategy other than arbitrage.