Using Taiwan Stock-Index Futures Basis to Test the Performance of Spreads Strategies in the Taiwan 50 ETF

• Main Authors: CHIN-SHYAN CHEN, 陳進賢
• Other Authors: none
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/97430642224785847334

碩士 === 逢甲大學 === 經營管理碩士在職專班 === 98 === The study is based on Taiwan Stock Index Futures Spreads change as the object, application the rule of up buys and down sells under different operating strategy of transactions for Taiwan 50 ETF, to examine investors could get a positive excess return, and verify Taiwan stock index Futures is the leading spot. The empirical evidences show that, without consideration of transaction costs, the operating performance of the rule of rises buys and falls sells was significantly better than the rule of buy and hold strategy; in transaction costs, the operating performance is still better than the buy and hold strategy. Therefore, the results of this study show the spot, futures and should be leading indicators for the stock.