統計套利－以台灣ETF為例

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Title:	統計套利－以台灣ETF為例
Authors:	劉晉舜
Contributors:	國際企業管理學系
Keywords:	指數型股票基金價差套利單根檢定共整合檢定
Date:	2010
Issue Date:	2011-10-20 09:32:03 (UTC+8)
Abstract:	本研究探討於國內市場中不同的指數型股票基金之間是否會因不同的投資組合而產生套利之替代品，進而產生套利的可能，研究中以寶來台灣卓越50ETF、寶來台灣電子科技ETF、寶來台灣金融ETF、富邦台灣發達ETF與寶來新台灣ETF為實證研究與模擬交易之對象，上述五檔ETF之追蹤標的指數、成分股與權重不盡相同，本按照追蹤標的分配成三組ETF，各組內之ETF具有高度的替代關係，從中賺取價差利潤。本研究結果顯示，在ADF單根檢定下，五檔ETF的歷史市值皆為I(1)之數列，也就是無法拒絕虛無假設，表示存在單根性質，同時為非定態之時間序列，並且透過Johansen (1988)共整合檢定法發現，三組ETF 均存在著共整合關係，表示三組ETF即使在短期出現價格偏離的情況，但在長期觀察下仍然會回復到期長期均衡狀態中，經由實證模擬交易發現，利用數檔ETF進行價差套利的行為可獲得高於無風險利率的報酬，即使在考慮交易成本的情況下，仍然存在套利的機會，表示ETF價差套利非屬效率市場，投資者可從中獲得異常報酬。 The thesis describes the mechanism of Exchange Traded Fund (ETF) spread arbitrage with perfect substitutes and demonstrates that spreads between ETFs in Taiwan can be constructed so as to result in risky arbitrage. The variables used Polaris Taiwan Top 50 Tracker Fund , Polaris Taiwan Electronics Tech ETF , Polaris Taiwan Finance ETF , Polaris Fubon Taiwan Eight Industries ETF and Polaris New Taiwan ETF for the trading-rule simulations. The results are as follows: all ETFs are nonstationary I(1) processes. On the contrary, the null hypothesis of ADF unit root is rejected for the first-order differences of each series at the 1%, 5% and 10% significance level, the differences of prices series are stationary I (0). The long-term relationships among ETFs are detected by cointegration tests. The prices of related ETFs in this study are found to be cointegrated and the spread derived from the cointegration relationships are mean-reverting. The trading-rule simulations suggest that the average profit from spread arbitrage is statistically significant after transaction costs of spread arbitrage are very attractive.
Appears in Collections:	[Department of Business Administration & Graduate Institute of International Business Administration ] Thesis

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