Using the Moving-Average curve to Test the Performance of Spread Strategies in the Taiwan Stock-Index Option Markets

• Main Authors: Kun-Po Chen, 陳坤伯
• Other Authors: none
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/57531233529769086953

碩士 === 逢甲大學 === 經營管理碩士在職專班 === 93 === This research uses moving average curve index to examine the investment performance of Spreads Strategies in Taiwan Stock Index Options. All the sample data of the research directly come from Taiwan Stock on spot and Taiwan Stock Index Options from April 1, 2002 through March 31, 2004. The result of this research is as follows: 1. No matter if the transaction cost is involved or not, the performance of call spread investment strategy is better than the performance of holding the Taiwan stock on spot in bull market. Its holding period return is 24.09% by considering cost condition and the significance is 1%. The best holding period return is the 300 spread strategy in the significance return samples. 2. No matter if the transaction cost is involved or not, both performance of call and put spread strategies are worse than holding the stock on spot in the bear market.