中国A股市场β系数配对交易策略研究

发布时间：2018-05-13 14:47

本文选题：配对交易 + 对冲投资　；参考：《哈尔滨工业大学》2013年硕士论文

【摘要】：近些年，随着全球的资本市场在快速的扩张和演变，金融衍生产品越来越多元化、丰富化，对冲投资是当今投资领域一个重要的策略，对冲基金种类的丰富性，投资的高杠杆性，已经成为成熟金融市场的重要组成部分。我国的经济飞速发展，金融市场逐渐完善，相关的融资融券业务很快将会实现。配对交易作为对冲投资的一种重要策略，通过分析股票的市场价格，使对冲投资研究变得简单和直接。本文主要研究配对交易中的配对方法和交易策略。首先介绍了配对交易的理论思想和基本概念，对比国内外众多学者们对配对交易的研究方向和研究成果，通过股票池建立、股票配对方式、交易策略和交易结果评价等方面对配对交易的研究进行了详细的综述。综述发现国内股票配对方式比较单一，大部分股票配对为某个证券板块股票两两配对，而Baronyan（2010）在配对交易的构建股票池研究方向中提出一种新思路，即构建股票对价差分析时，以经过对数化处理的股票对相关风险系数比值作为分析对象。综述又发现国内的配对交易策略方法较为局限，大部分交易策略基于GGR（2006）交易策略，而Herlemont（2010）在GGR（2006）交易策略基础上，提出改进建立仓位时机，将触发建立仓位条件改进为回复突破两倍标准差。本文利用中国A股市场进两年的交易数据，首先通过风险系数划分基本股票池，然后通过用两种交易策略进行实证研究，分析配对交易的可行性，以及对比两种策略的优劣性。本文实证结果显示，在基于风险系数划分基本股票池的基础上，分析两种策略的收益率，收益波动率和夏普指数，发现两种交易策略的报酬率均高于股市大盘的报酬率，且两种交易策略的夏普指数均大于1，说明配对交易策略效果好。同时基于两种策略的不同之处，又对比了两种策略的交易结果，发现两种策略中，Herlemont交易策略的不仅收益率高于GGR交易策略，而且收益波动率低于GGR交易策略，即Herlemont交易策略的夏普指数高于GGR交易策略，说明配对交易策略中，Herlemont交易策略要优于GGR交易策略。本文研究配对交易是基于一对一股票组合，且基于同一股票指数板块划分股票池，，希望在以后的研究分析中，能构建多对多的配对交易股票组合，且将不同股票指数板块的股票进行配对交易。
[Abstract]:In recent years, with the rapid expansion and evolution of the global capital market, financial derivatives are becoming more and more diversified and enriched. Hedge investment is an important strategy in the field of investment today. The high leverage of investment has become an important part of mature financial markets. With the rapid development of our economy and the improvement of the financial market, the related short-margin business will be realized soon. As an important strategy of hedge investment, paired trading makes the research of hedge investment simple and direct by analyzing the market price of stocks. This paper mainly studies pairing methods and trading strategies in pairing transactions. Firstly, this paper introduces the theoretical ideas and basic concepts of paired trading, compares the research direction and research results of many scholars at home and abroad, through the establishment of stock pool, the mode of stock pairing. The research on paired trading is reviewed in detail in the aspects of trading strategy and evaluation of trading results. It is found that there is a single pairing mode in domestic stocks, most of which are pairwise pairing in a certain stock sector, while Baronyan 2010) puts forward a new way of thinking in the research direction of constructing stock pool of paired trading, that is, when constructing the stock to price difference analysis. The logarithmic ratio of the relative risk coefficient of the stock is taken as the analysis object. It is also found that the method of matching trading strategy in China is relatively limited. Most of the trading strategies are based on GGRG 2006) trading strategy, while Herlemontt 2010) proposes to improve the opportunity of establishing position on the basis of GGRN 2006) trading strategy. Improve the condition of setting up the trigger position to double the return standard deviation. This paper makes use of the transaction data of two years in China's A-share market, divides the basic stock pool by risk coefficient, and then analyzes the feasibility of paired trading and compares the advantages and disadvantages of the two strategies by using two kinds of trading strategies. The empirical results show that on the basis of dividing the basic stock pool based on the risk coefficient, this paper analyzes the return rate, return volatility and Sharp index of the two strategies, and finds that the return rate of the two trading strategies is higher than that of the stock market. The Sharp index of the two trading strategies is higher than 1, which indicates that the paired trading strategy is effective. At the same time, based on the differences between the two strategies, the results of the two strategies are compared. It is found that the return rate of the two strategies is higher than that of the GGR trading strategy, and the volatility of the return is lower than that of the GGR trading strategy. That is, the sharp index of Herlemont trading strategy is higher than that of GGR trading strategy, which indicates that Herlemont trade strategy is superior to GGR trading strategy in paired trading strategy. This paper studies pairing transactions based on one-to-one stock portfolio, and divides stock pools based on the same stock index plate. It is hoped that in the future research and analysis, we can construct a many-to-many paired trading stock portfolio. And will be different stock index plate of the stock pair trading.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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