配对交易策略在我国A股市场的应用研究

发布时间：2018-03-22 07:11

本文选题：配对交易　切入点：套利　出处：《南京大学》2012年硕士论文　论文类型：学位论文

【摘要】：2010年3月31日融资融券业务的推出,使我国A股市场功能更为完善。国内投资机构开始尝试引进国外对冲基金的投资方法,少数机构甚至成立了以对冲方式运作的基金。因此,研究国外对冲基金的投资方法在当前A股市场的盈利能力以及国内投资者应用国外投资方法的规模,具有一定的理论价值和现实意义。本文以流行于国外对冲基金的配对交易策略为研究内容,通过总结已有文献对配对交易的研究成果,设计出一个具备实用价值的配对交易策略,该策略在最近三年历史数据的模拟测试中获得约8%的年化收益率。此外,本文还将融资融券推出前后的配对交易模拟效果进行对比,发现融资融券推出之后,配对交易的策略收益和价差波动率明显减小。通过多元回归分析,我们得到了相同的结论。据此本文得到如下推断：当前A股市场对冲投资已颇具规模,随着市场上从事套利的投资者日益增多,原先存在的套利空间逐渐减小,证券市场的错误定价正在逐步修正。
[Abstract]:The introduction of margin trading on March 31, 2010 made the A share market in China more perfect. Domestic investment institutions began to try to introduce the investment methods of foreign hedge funds, and a few even set up hedge funds. To study the profitability of foreign hedge fund investment methods in the current A-share market and the scale of domestic investors applying foreign investment methods, It has some theoretical value and practical significance. This paper takes the pairing strategy of hedge funds in foreign countries as the research content, and summarizes the research results of the pairing trading by summarizing the existing literature. A matching trading strategy with practical value is designed, which obtains an annualized yield of about 8% in the simulation test of historical data in the last three years. In addition, the paper also compares the simulation results of the matching transactions before and after the introduction of margin and margin. It is found that after the introduction of margin trading, the strategic returns and the volatility of the spread of the matching transactions are significantly reduced. We have got the same conclusion. Based on this conclusion, we infer that the hedging investment in the A share market is quite large, and with the increasing number of arbitrage investors in the market, the previously existing arbitrage space gradually decreases. Mispricing in the stock market is gradually being corrected.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【引证文献】