The Research of Spread between Spot and Futures And TAIFEX Daytrade Strategies

• Main Authors: Wang Hai Hua, 汪海華
• Other Authors: Han,Chien-Shan
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/64316964336881599222

碩士 === 輔仁大學 === 金融與國際企業學系金融碩士在職專班 === 102 === There were two strategies in the research: daytrade strategy and follow trend strategy. We could find that there was an opportunity for earning money when spread diverged at 09:00. We examined spread between spot and futures(DIFF_TAITWSE) was stable sequence. And the last one and two period spread impacted the chance of TAIFEX. So, We used the sequence to construct trading strategies of TAIFEX. Second, We could examined whether the market was efficient and which time frame was inefficient by using run test. The time frame of 11-minute was inefficient. It’s the most importantly previous thing to use the sequence to construct daytrade strategies. Third, We distinguished the TAIFEX price trend in 4 parts: upside trend, downside trend, huge volatile interval consolidation, tiny volatile interval consolidation. Finally, We made two strategies for one portfolio and analyzed the result the portfolio could efficiently reduced downside risk.