A Study of Pair Trading Using TAIEX Futures, Electronic Sector Index Futures, Finance Sector Index Futures, and Taiwan Top 50 ETF

• Main Authors: Chen, Tai-Yu, 陳岱佑
• Other Authors: Wang, Keh-Luh
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/5q4dv6

碩士 === 國立交通大學 === 財務金融研究所 === 101 === Historical data shows that there were high correlations among TAIEX Futures, Electronic Sector Index Futures, Finance Sector Index Futures and Taiwan Top 50 ETF. The spreads between ETF and various Futures may expand or narrow due to changes of the relative prices. Using Bollinger Bands as reference indicators of reasonable ranges, this study builds a pair trading strategy and measures the spread among index futures and Taiwan Top 50 ETF. The predictive performance under various parameter settings is also discussed. We found that the wider the Bollinger Bands, the greater the transaction risk. Furthermore, during the sample period, the pairs with Electronic Sector Index Futures and Taiwan Top 50 ETF had the best performance. However, they did not do well in the testing period.