配对交易策略应用于我国A股市场之实证研究

发布时间：2018-01-01 04:33

本文关键词：配对交易策略应用于我国A股市场之实证研究　出处：《浙江工商大学》2013年硕士论文　论文类型：学位论文

更多相关文章： 配对交易 协整 统计套利 GARCH模型

【摘要】：随着经济环境的变化以及金融市场的发展,我国国内投资者的需求也越来越趋于多样化。一方面,近年来我国A股市场总体上处于震荡下跌的趋势,在只有做多才能获利的股市中,通过传统的低买高卖方法在股市中获利已经变得越来越困难；另一方面,各种各样的新型金融产品的推出,也为运用多样化的投资策略打开了大门。2010年3月,随着融资融券制度的推出,A股市场不再是纯粹的单边市场,做空A股而获利的道路被打通,投资者在A股市场通过配对交易获利成为可能。在西方资本市场,配对交易已经成为一种风险较低、收益稳定的投资方式,本文试图研究配对交易应用于我国A股市场的可行性。本文通过回顾国内外文献,利用2010到2012年的股票价格数据对配对交易进行实证分析。首先通过相关性分析筛选出进行配对交易的两只股票,并对这两只股票进行单位根检验和协整检验,将这两只股票构建成一个资产组合,然后通过常数方差模型建立交易规则进行操作。操作时以样本内数据为配对期,样本外数据为预测期,对操作结果进行分析,发现常数方差模型的不足,对其进行改进得到新策略,建立了基于GARCH模型的操作方法。最后对这两种方法从收益、风险等几个角度进行比较,最终得出结论,基于统计套利的配对交易策略是一种不基于市场总体走势判断的投资策略,是独立于市场走势的,在中国A股市场上运用配对交易策略是可行的,并且基于GARCH模型的操作策略要略优于使用常数方差的操作策略。
[Abstract]:With the change of economic environment and the development of financial market, the demand of domestic investors is becoming more and more diversified. On the one hand, in recent years, the A-share market of our country is in the general trend of concussion and decline. In the stock market, which can only be profited by long, it has become more and more difficult to make profits in the stock market through the traditional low-buying and high-selling method. On the other hand, the introduction of a variety of new financial products has opened the door for the use of diversified investment strategies. In March 2010, with the introduction of margin financing system. The A-share market is no longer a purely one-sided market, and the path to profits from short A-shares has been opened, and investors are able to make profits through matching deals in the A-share market. In Western capital markets. Pairing transaction has become a low risk and stable investment method. This paper attempts to study the feasibility of pairing transaction in A share market of our country. This paper reviews the domestic and foreign literature, using the stock price data from 2010 to 2012 to carry out empirical analysis of the paired transactions. And the two stocks are tested by unit root test and cointegration test, and the two stocks are constructed into a portfolio. Then the transaction rules are established by the constant variance model. The operation takes the data in the sample as the pairing period and the data outside the sample as the prediction period. The results of the operation are analyzed and the shortcomings of the constant variance model are found. A new strategy based on GARCH model is established. Finally, the two methods are compared in terms of income, risk and so on. Finally, the conclusion is drawn. The pairing trading strategy based on statistical arbitrage is a kind of investment strategy which is independent of the market trend and is independent of the market trend. It is feasible to use the matching trading strategy in the Chinese A-share market. And the operation strategy based on GARCH model is slightly better than that using constant variance.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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