基于趋同性检验的配对交易策略实证研究

发布时间：2018-04-03 09:07

本文选题：配对交易　切入点：交易策略　出处：《华中科技大学》2012年硕士论文

【摘要】：中国证券市场在近年来得到飞速发展，各类基金产品应运而生，其中，对冲基金因其回报的稳定性和追求绝对回报的特点，得到国内外投资者的青睐。而作为对冲基金的重要交易策略之一，配对交易策略也随之受到重视并得以快速发展。笔者在对国内外配对交易策略相关文献进行详细综述的基础上，采纳国内外认同度最高的配对方法——基于趋同性检验的配对策略为主要思路，即寻找两只历史价格走势相近的股票进行配对。并对此方法针对中国证券市场进行优化和完善，形成完整的配对交易策略模型。然后利用该模型对中国A股市场2008年至2010年的数据进行了处理和研究，以检验配对交易策略在在国内市场是否可获利。实证结果表明，，基于趋同性检验的配对交易策略在交易期内与大盘相关性较低，且与大盘相比，平均年回报率较高，波动率较小，夏普指数较高。分时期来看，配对交易策略在熊市阶段和震荡调整期回报率独立于大盘显著较高，有较好的套利效果。而在牛市阶段，回报率略逊于大盘，套利效果一般。本文中笔者采用的是每两只股票为一组的配对方法，这种配对方式最为直观和简便。未来研究者可以朝多只股票组合配对的方向发展，并可以尝试配对交易策略和其他交易策略的组合策略的方法。
[Abstract]:With the rapid development of Chinese securities market in recent years, all kinds of fund products emerge as the times require. Among them, hedge funds are favored by investors at home and abroad because of the stability of their returns and the characteristics of pursuing absolute returns.As one of the important trading strategies of hedge funds, matching trading strategy has been attached importance and developed rapidly.On the basis of a detailed review of the relevant literature on pairing trading strategies at home and abroad, the author adopts the pairing method with the highest degree of recognition at home and abroad-pairing strategy based on convergence test.That is to look for two historical price trends similar to the stock pair.The method is optimized and perfected for China's securities market to form a complete paired trading strategy model.Then the data of China A-share market from 2008 to 2010 are processed and studied using the model to test whether the matching trading strategy is profitable in the domestic market.The empirical results show that the matching trading strategy based on the convergence test has a lower correlation with the market during the trading period, and compared with the market, the average annual return is higher, the volatility is smaller, and the Sharp index is higher.From the point of view of time, the rate of return of paired trading strategy in bear market and shock adjustment period is significantly higher than that in large market, and it has better arbitrage effect.But in the bull market stage, the rate of return is slightly inferior to the market, arbitrage effect is general.In this paper, the author uses a pair of each two stocks as a group, this pairing method is most intuitive and simple.In the future, researchers can develop toward multiple stock portfolio pairing, and can try to match the combination strategy of trading strategy and other trading strategy.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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