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標題: 配對交易在外匯市場的運用
The application of pairs trading on exchange market
作者: 林冠廷
Lin, Guan-Ting
關鍵字: pair
出版社: 財務金融系所
引用: 參考文獻 1. 湯雲鶴:多因子模型於臺股市場中立策略避險基金之應用。 國立中山大學財務管理學系研究所碩士論文,民國 93年 2. Douglas W.Case,(2002),”Market Neutral Equity Investing- An Absolute Return Strategy,” Advanced Investment Partners(AIP), September 30 3. Douglas,Ehrman( 2004), “Pairs Trading:New look at old strategy,”Futures ;May. 4. Evan Gatev,William N.Goetzmann and k.Geert Rouwenhorst(2006), “pairs trading:performance of a relative-value arbitrage rule” 5. Falkenstein, Eric G.(1996), “Preferences for Stock Characteristics as Revealed by Mutual Fund Portfolio Holdings,” The Journal of Finance, 6. Grinold,Richard C.and Ronald N.Kahn(2000), “The Efficiency Gains of Long-Short Investing,” Financial Analysts Journal,Vol.56,No.6, Nov/Dec. 7. Ineichen,Alexander M.(2001), “Who’s Long? Market-neutral versus Long-Short Equity,” Equity Derivatives Reserch, UBS Warburg, London. 8. Jacobs,B.I.and K.N.Levy(1993), “Long/Short Equity Investing” The Journal of Porfolio Management, Fall. 9. Jacobs,B.I.andK.N.Levy(1997), “The Long and Short on Long-Short,” The Journal of Investing, Spring. 10. Michaud,Richard(1993), “Are Long-Short Equity Strategies Superior?” Financial Analysts Journal,Vol.49,No.6, November/December,pp.44-49. 11. Pairs Trading: Performance of a Relative-Value Arbitrage Rule Evan Gatev William Goetzmann & Evan g. Gatev & K. Geert Rouwenhorst. (1998) “Pairs Trading: Performance of a Relative-Value Arbitrage Rule”
摘要: According to the study of Evan Gatev et al. , pairs-trading strategy could be used in foreign currency market based on ‘high correlation' assumption. The pairs-trading strategy hypothesized the high correlated targets from past experience will keep the pattern of high relevance in the future. Using the relative exchange rate can avoid the failure of pairs-trading strategy effectively. The research analyzed the influence variables impact the performance of the pairs-trading strategy. Such analysis was helpful to establish the pairs-trading strategy. In addition, this research also considered whether the spread on the foreign currency exchange market affect the performance of the pairs-trading strategy. The empirical results showed that the pairs-trading could earn abnormal return significantly in the foreign currency exchange market and could duplicate effectively. In our test period between 2007/1/1~2007/12/31, the annual return of each group between 12.4%~28.61% respectively, which is outperformed the currency with the highest interest rate. This result evidenced the pairs-trading strategy is a risk neutral investment strategy that one may refer.
本研究根據Evan Gatevet al.使用風險中立的投資策略,利用建立在高度相關性假設的配對交易應用於外匯市場。配對交易假設過去高度相關的標的,在未來也將呈現高度相關性。以相對匯率作為標的可以有效避免過去部份造成配對交易失敗的原因。研究探討相關變數的改變對於配對交易績效的影響,有助於在初期設定配對交易模型。除此之外,本研究另考慮利差因素對於外匯市場交易的影響,是否有助於配對交易的績效。 研究結果顯示,配對交易在外匯市場是有顯著報酬,並可以有效複製的投資策略。在實證期間2007/1/1~2007/12/31之間,各組年化報酬率分別為為12.4%~28.61%,明顯優於高利率的貨幣,為一可參考的風險中立投資策略。另外,在本研究中利差的變數並無明顯對配對交易產生影響。
其他識別: U0005-3006200801141300
Appears in Collections:財務金融學系所



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