| Summary: | 碩士 === 國立屏東科技大學 === 工業管理系 === 91 === Nowadays, the individual investor of focus market hold ratio less and less in Taiwan. When analyzing the investing behavior of these investors, the researcher finds that most of them invest stock without any strategy. Base on traditional investment theory, stock investors should task fully risk of their investment; including, unsystematic risk and systematic risk. Although owns portfolio investors may reduce the unsystematic risk and whole portfolio risk, they still need to take the risk of market. For owns portfolio investors, they usually bore quite a little deal costs. This study set up a semi-arbitrage asset-pair based on the mode of operations, bought in a stock and sold out a stock to reduce the risk of stock market. In the study, the researcher chooses the electron stocks as sample, and analyze the relationship between stocks pricing by using the two-two sample cross compare. Second, based on the compare price relationship processed commerce, while the price ratio change for high, investors should sell the stock which is with higher pricing, and buy the stock which is with lower pricing. In the other hand, investors should operate in the opposite way while the price ratio changes for low. In this way, investors should gain price the profit of price difference from buying and selling stocks. This operation is called “semi-arbitrage.” The study result showed that there are 85 semi-arbitrage asset-pair appear with law oscillation bases on the historical data. In addition, the researcher discovers 64 pair continue occured semi-arbitrage by using testing method. Therefore, the study concluded that there is an arbitrage space for stock. Moreover, when the researches compared semi-arbitrage asset-pair and correlation, most are between 0.6 and 0.9. Thus, there should be a significant relationship between them. Finally, in order to provide the better strategy of stock investment for investors, the study discussed the semi-arbitrage asset-pair focused on time and scope, and defining the buy-in and sell-out time of stock.
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