投資人可利用配對交易策略進行套利，典型配對交易假設兩家高度相關公司之股價存在穩定的相對關係，短期股價偏離具有均數復歸（mean-reverting）性質，因此藉由同時買進價格偏低的股票以及賣出價格偏高的股票即可獲取價差利潤。然而由於內外在因素的快速變遷，原先高度相關的兩公司股價，其股價偏離可能在某段期間失去均數復歸的性質，而導致典型配對交易無法獲致價差利潤。由於股價偏離未必總能均數復歸，本研究利用Caner and Hansen（2001）的門檻單根檢定法，設計門檻單根交易策略。本研究以台積電與聯電兩公司股票為樣本，資料期間為西元2000年1月1日至2010年12月31日，共計2743筆日資料。本研究探討的配對交易策略包括：只考量技術面資訊的股價比交易策略、同時考量基本面資訊的條件式股價比交易策略、股價存在共整合時的誤差修正交易策略、以及不預設股價偏離具備均數復歸性質的門檻單根交易策略。實證結果發現，門檻單根交易策略最能有效地掌握股價偏離性質，並獲得最高的報酬。

The one-on-one pair trading strategy is commonly used for arbitrage. The pair trading targets are usually chosen from two products or companies with highly business-related in the same industry/market, and then obtaining profits from arbitrage according to the information of the fundamentals and stock price changes of the two investment targets. The arbitrage strategies are highly based on the assumption that the deviations from the relative stock prices changes are mean reverting. However, the life cycles of products are getting shorter and shorter, and the development of new technologies are quite rapid. The deviations between the originally stable relative prices may not be always mean reverting. This paper utilizes the threshold unit root model developed by Caner and Hansen (2001) to find the threshold values and the appropriate arbitrage strategies. We use TSMC and UMC as the sample companies to compare the performances among a variety of pair trading strategies. The sample period covers 2,743 daily trading data starting from January 1st, 2000 to December 31th, 2010. The trading strategies include: (1) the technical trading strategy based on the price ratio of the two investment targets, (2) the modified technical trading strategy based on both the price ratio and the fundamental information, (3) the cointegration trading strategy executed when the values of the error correction term excessively deviate from its mean value if the two companies' share prices are cointegrated; (4) the threshold unit root trading strategy executed when the deviations of the stock prices are nonlinearly unit root based on the threshold unit root model .This article investigates the performance of the above four trading strategies. The empirical results show that the strategy based on the threshold unit root model is the most profitable among the four pair trading strategies.