基于趋同性检验的上下游企业股票配对交易的实证研究

发布时间：2018-03-30 02:00

本文选题：对冲交易　切入点：配对交易　出处：《哈尔滨工业大学》2013年硕士论文

【摘要】：近年来对冲交易风靡全球，使用此策略对冲股票交易过程中的风险是各大券商、银行所推崇的方法。其中配对交易是对冲交易的一种重要方式。即利用两个走势相似的股票其价差序列短暂偏离均值时获取套利。在配对交易中如何选择股票对是整个策略中最为重要的环节，比如根据风险系数对股票进行分类，根据行业对股票进行分类等等。选择正确的配对股票将决定整个交易的成功或失败。本文基于前人的研究，即分别对上下游企业使用零风险投资策略，其绩效不同这一结论，假设在行业分类的基础上进一步进行上下游企业分类时，股票配对收益会比单纯的行业配对收益更高。所以本文基于前人的配对交易经典模型，对上下游配对交易进行测试，以经典的行业配对为基准。测试出上下游配对交易的可行性以及收益性。一般来讲配对交易分为三个环节，股票筛选环节，股票配对环节，交易信号执行环节。其中股票对的筛选环节对配对交易最终的收益率有着决定性的影响。本文选取相同的配对方式，以及交易模型，来验证不同的筛选方式即将股票进行上下游分类，以及进行行业分类进行比较，验证哪种分类方式更优。本文使用Matlab、Spss、Excel、Eviews对上证一百以及深证一百数据进行分析最后验证了此种配对策略在中国股票市场的是可行的。其成功率，即配对股票盈利的次数占总交易次数的比例，也达到了80%以上。综合来看，按照上下游进行分类的股票配对相对于按照行业分类的股票配对，其获得的收益率更高。
[Abstract]:Hedge trading has become a global phenomenon in recent years, and using this strategy to hedge the risks in the trading of stocks is among the major brokerages. The method favoured by banks. Among them, pairing is an important way to hedge trades. Namely, to obtain arbitrage when the spread sequence of two similar stocks deviates from the mean briefly. How to select the stock pair in the paired trading. Is the most important part of the whole strategy, For example, stocks are classified according to risk coefficient, stocks are classified according to industry, and so on. Choosing the right matching stock will determine the success or failure of the whole transaction. This paper is based on the conclusion that zero risk investment strategy is used separately for upstream and downstream enterprises, and its performance is different. This paper assumes that on the basis of industry classification, the upstream and downstream enterprises are classified further. The returns of stock matching will be higher than that of pure industry pairing. So this paper tests the upstream and downstream pairing transactions based on the classical model of pairing trading. Test the feasibility and profitability of upstream and downstream matching transactions based on classic industry pairing. Generally speaking, pairing transactions are divided into three links: stock screening, stock matching. The selection of stock pairs has a decisive effect on the final return rate of the paired transactions. This paper selects the same matching mode and trading model. To verify the different screening methods, that is, stocks are classified upstream and downstream, and industry classification is compared to verify which classification method is better. This paper analyzes the data of Shanghai Stock Exchange 100 and Shenzhen Stock Exchange 100 by using Matlab Spssman Excel Eviews. Finally, it is proved that this matching strategy is feasible in China's stock market, and its success rate, that is, the ratio of the number of times of matching stock earnings to the total number of transactions, is proved to be feasible. Taken together, stocks classified by upstream and downstream have higher returns than those classified by industry.
【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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