TheApplicabilityofPairsTradinginTaiwanStockMarket
碩士 === 國立政治大學 === 國際貿易研究所 === 94 === How one can get a big fish in the stock market is an intriguing question with no answer. With the assumption of market inefficiency, we design technical trading strategies based on pairs trading which was well known by Wall Street to capture the big fish. A pai...
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ndltd-TW-094NCCU53230052015-10-13T11:15:48Z http://ndltd.ncl.edu.tw/handle/55584675044894861738 TheApplicabilityofPairsTradinginTaiwanStockMarket Hsieh,Cheng-Ta 謝承達 碩士 國立政治大學 國際貿易研究所 94 How one can get a big fish in the stock market is an intriguing question with no answer. With the assumption of market inefficiency, we design technical trading strategies based on pairs trading which was well known by Wall Street to capture the big fish. A pair is composed of a security over anther, and we attempt to make the pair market neutral. We test the profitability of several trading rules with daily data during the period from Jan.1, 2002 to Mar.31, 2005. We also test the one price law of ADRs, during the sample period from 1996 Jul. to 2005 Apr. We find that the performance of the Moving Average Model is better. In particular, in the Moving Average Model the top 10% trading pairs make an average lucrative 2.07 % return in K5-10 model, 2.95 % return in K5-15 model, and 3.55 % in K5-20 model. Kuo,Weiyu 郭維裕 學位論文 ; thesis 64 en_US |
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碩士 === 國立政治大學 === 國際貿易研究所 === 94 === How one can get a big fish in the stock market is an intriguing question with no answer. With the assumption of market inefficiency, we design technical trading strategies based on pairs trading which was well known by Wall Street to capture the big fish. A pair is composed of a security over anther, and we attempt to make the pair market neutral. We test the profitability of several trading rules with daily data during the period from Jan.1, 2002 to Mar.31, 2005. We also test the one price law of ADRs, during the sample period from 1996 Jul. to 2005 Apr. We find that the performance of the Moving Average Model is better. In particular, in the Moving Average Model the top 10% trading pairs make an average lucrative 2.07 % return in K5-10 model, 2.95 % return in K5-15 model, and 3.55 % in K5-20 model.
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author2 |
Kuo,Weiyu |
author_facet |
Kuo,Weiyu Hsieh,Cheng-Ta 謝承達 |
author |
Hsieh,Cheng-Ta 謝承達 |
spellingShingle |
Hsieh,Cheng-Ta 謝承達 TheApplicabilityofPairsTradinginTaiwanStockMarket |
author_sort |
Hsieh,Cheng-Ta |
title |
TheApplicabilityofPairsTradinginTaiwanStockMarket |
title_short |
TheApplicabilityofPairsTradinginTaiwanStockMarket |
title_full |
TheApplicabilityofPairsTradinginTaiwanStockMarket |
title_fullStr |
TheApplicabilityofPairsTradinginTaiwanStockMarket |
title_full_unstemmed |
TheApplicabilityofPairsTradinginTaiwanStockMarket |
title_sort |
theapplicabilityofpairstradingintaiwanstockmarket |
url |
http://ndltd.ncl.edu.tw/handle/55584675044894861738 |
work_keys_str_mv |
AT hsiehchengta theapplicabilityofpairstradingintaiwanstockmarket AT xièchéngdá theapplicabilityofpairstradingintaiwanstockmarket |
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