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題名 | Copula-Based Pairs Trading in Asia-Pacific Markets=亞太市場中基於連結函數之配對交易的表現 |
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作者 | Xie, Wenjun; Toh, Zhao Zhi; Wu, Yuan; Wu, Yuan; Toh, Zhao Zhi; Xie, Wenjun; | 書刊名 | 財務金融學刊 |
卷期 | 24:4 2016.12[民105.12] |
頁次 | 頁1-17 |
分類號 | 563.54 |
關鍵詞 | 配對交易; 距離法; 關聯結構; 相關性; 亞太市場; Pairs trading; Distance method; Copula; Dependence; Asia-Pacific markets; |
語文 | 英文(English) |
中文摘要 | 亞太市場在全球的地位日益提升。本文探討亞太市場中投機策略-配對交易-之表現。相 較於傳統配對交易策略中股票報酬率為多元常態分配,我們提出的關聯結構配對交易策略可突 破此限制,彈性預估股票報酬率之聯合分配,從而更準確描述其相關性。實證結果顯示關聯結 構策略之平均報酬率明顯高於傳統策略。 |
英文摘要 | The global standing of the Asia-Pacific market has strengthened in both market capitalization and trading volume. This paper examines a popular speculative trading strategy called pairs trading in this region, with the focus on our proposed copula approach. Compared to the conventional method which implies that stock returns follow a multivariate normal distribution, the copula approach allows flexibility in estimating the joint distribution of stock returns. This then provides a better description of the dependence between stocks. Empirical results demonstrate the effectiveness of this new approach in the Asia-Pacific region, with significantly higher returns compared to the conventional method. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。