银行类股票的统计套利研究

发布时间：2018-04-05 13:44

本文选题：统计套利　切入点：银行类股票　出处：《河北经贸大学》2014年硕士论文

【摘要】：本文在收集银行类股票2012年7月2日至2013年7月31日五分钟高频交易数据的基础上，结合融资融券交易数据对银行股的统计套利情况进行了深入研究。首先通过研究期间的交易数据及融资融券数据探讨了统计套利交易的可能性。然后计算银行类股票间的相关系数，初步选定统计套利组合，建立协整模型。应用方差比法确定交易信号，对选定的套利组合进行交易分析。根据统计套利相关结果及融券交易情况，应用熵值法对各个统计套利组合进行综合评价。最后根据评价结果，给予投资者相应的投资建议。通过对银行类股的统计套利情况进行研究得出：融资融券交易自开展以后取得了很大的发展，但融券交易的交易量相对于融资交易还很小，统计套利实施的空间比较小；对银行类股实施统计套利能够使投资者获得超过市场的利润；在所选定的统计套利组合中，兴业银行和浦发银行的统计套利组合取得了最好的综合得分，值得投资进行关注
[Abstract]:On the basis of collecting five minute high frequency trading data from July 2, 2012 to July 31, 2013, this paper makes an in-depth study on the statistical arbitrage situation of bank stocks based on the data of margin trading.Firstly, the paper discusses the possibility of statistical arbitrage trading through trading data and margin data.Then the correlation coefficient between bank stocks is calculated and the statistical arbitrage portfolio is preliminarily selected to establish a cointegration model.The transaction signal is determined by variance ratio method, and the selected arbitrage combination is analyzed.According to the results of statistical arbitrage and margin trading, the entropy method is applied to the comprehensive evaluation of statistical arbitrage combinations.Finally, according to the evaluation results, give investors corresponding investment advice.Through the research on the statistical arbitrage of bank stocks, it is concluded that: the margin trading has made great progress since it was carried out, but the trading volume of margin trading is relatively small compared with the financing transaction, and the space for the implementation of statistical arbitrage is relatively small;The implementation of statistical arbitrage on bank stocks can enable investors to gain more profits than the market. In the selected statistical arbitrage portfolio, the statistical arbitrage portfolio of Industrial Bank and Pudong Development Bank has achieved the best comprehensive score, which deserves investment attention.
【学位授予单位】：河北经贸大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51

【引证文献】