| Summary: | 碩士 === 國立交通大學 === 管理學院高階主管管理碩士學程 === 94 === The topic of this thesis is to develop " A Trading Strategy of Taiwan Stock Weighted Index Futures ". In the light of the maturity of domestic securities market, the "buy" or "sell" on equity is not able to satisfy actual needs of major investors in the stock market.
In the Futures Market, the individual investors are on the same position with major shareholders as long as both investors put all their money into the futures market without following a strategy. On the contrary, Taiwan stock weighted index future provides a tool for speculation, hedging or arbitrage if the individual investors constantly accumulated knowledge and experience and learn from the mistakes.
The empirical research method is applied to this study. The trading strategy is focused on trading on Taiwan stock weighted index future and executed in accordance with the evaluation model by applying KD (Stochastic Oscillator) and negative and positive basis correlated to Taiwan stock weighted index and evaluate the return and performance by applying the trading strategy into the actual transaction records of Taiwan stock weighted index future from December 1, 1998 to November 30, 2005.
To the investors, they are more concerned about their investment return and profit improvement within a limited risk. The study was to construct a model of trading Taiwan stock weighted index futures for in-depth analysis and exploration, hoping to provide investors a different trading strategy other than arbitrage.
|
|---|
