| Summary: | 碩士 === 國立中央大學 === 財務金融學系碩士在職專班 === 93 === As the derivatives bloom in global financial market, the government gradually loosens regulations and relevant foreign hedge fund products are introduced to Taiwan financial market, domestic institutional investors not only use futures and options to hedge, but also minimize the risks and maximize the profits through the combination of stock trading and futures trading. On the other hand, domestic institutional investors are not allowed to do short trading so they are hard to make profits through stock trading in non-bull market. Thus, how to trade through combining stocks and futures, and dynamically adjusting hedge ratio, and then developing new financial products is the first topic for domestic institutional investors.
To provide an useful and stable model, this study applies Markov chain approach to develop a strategy of trading Taiwan stocks and futures. This strategy is to use Mean-Varian Theory in stock trading and to use Matlab program to find the optimal portfolio under the restriction of short trading. The stocks of this portfolio are from the most thirtieth weight components of Taiwan 50. The volume of futures of this portfolio is first decided by the Minimum Variance Hedge Ratio to find the optimal hedge ratio and then applies Markov chain transition matrix to adjust the future position dynamically. Markov chain transition matrix is the variables of the differences between the combined return of these stocks and the return of the future on the day that this portfolio is set up. Relevant studies and methodologies are referred to the second section and the third section; the fourth section is the test of using Matlab program; the fifth section is the conclusion and suggestion.
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