| Summary: | 碩士 === 國立高雄應用科技大學 === 金融系金融資訊碩士班 === 102 === This article applying cointegration model for pairs trading in Taiwan stock market performance of empirical analysis, the article not use industry to classification stock what use concept stock to classification.After classify stock, the article uses trade strategy to find entry or exit signals, the stude period of 2000-2013, total trade period of 12 years, first year is test period, the study use moving window every day.
This article uses residual analysis and price ratio to construct trade strategy, the result show applying cointegration model and concept stock for pairs trading in Taiwan stock market has arbitrage, average profit about 8% per annual, Most importmant impact factor of profit is trade threshold value, the threshold value sets is important than others, that likes trading strategies, costs or buy or sell.
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