| Summary: | 碩士 === 輔仁大學 === 金融與國際企業學系金融碩士班 === 99 === "Stock market neutral trading strategy" is to capture arbitrage opportunities brought by brief price deviations between two stocks in constant equilibrium, in the meantime to establish long and short positions equivalent to market value to neutralize market risk, and to look for arbitrage possibilities caused by efficiency gap formed between stocks. It uses the return value of the rational time difference to earn a small price differences in fluctuations in the stock market and to secure stable absolute returns in any market environment.
This study focuses on Taiwan's fifty constituent stocks, selects 11 groups (22 companies) as paired samples,sifts with pair combination to perform simulated trading by co-integration test and correlation coefficient methods. The study period is 2009/01 to 2011/03. The sample period of transaction design is one year, transaction period is one quater, adopting Windows Mobile. It is to conclude transaction period for five quarters, four sector groups, two thresholds of building positions and overall compensation approach to explore the performance.
The empirical results show that adjusted annual remuneration (index compensation) is 19.48% (-5.68%), significantly different from 0, and outperforms the market index returns. There are major differences among 2010/Q3 and 2010/Q4 and other quarters.There is no major differences among each sector groups, and the annual remuneration with excessively big or small thresholds. The empirical study also shows that the market-neutral strategy portfolio returns is from long-short equity portfolio and the yield spreads; profit performance depends on entry and exit timing and stock selection ability, and has nothing to do with the judgement of overall market.
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