本文選題：配對交易　切入點：套利　出處：《南京大學》2012年碩士論文　論文類型：學位論文

【摘要】：2010年3月31日融資融券業(yè)務的推出,使我國A股市場功能更為完善。國內(nèi)投資機構開始嘗試引進國外對沖基金的投資方法,少數(shù)機構甚至成立了以對沖方式運作的基金。因此,研究國外對沖基金的投資方法在當前A股市場的盈利能力以及國內(nèi)投資者應用國外投資方法的規(guī)模,具有一定的理論價值和現(xiàn)實意義。本文以流行于國外對沖基金的配對交易策略為研究內(nèi)容,通過總結已有文獻對配對交易的研究成果,設計出一個具備實用價值的配對交易策略,該策略在最近三年歷史數(shù)據(jù)的模擬測試中獲得約8%的年化收益率。此外,本文還將融資融券推出前后的配對交易模擬效果進行對比,發(fā)現(xiàn)融資融券推出之后,配對交易的策略收益和價差波動率明顯減小。通過多元回歸分析,我們得到了相同的結論。據(jù)此本文得到如下推斷：當前A股市場對沖投資已頗具規(guī)模,隨著市場上從事套利的投資者日益增多,原先存在的套利空間逐漸減小,證券市場的錯誤定價正在逐步修正。
[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.
【學位授予單位】：南京大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

【引證文獻】

相關碩士學位論文 前2條

1 金愷;基于協(xié)整方法的滬深300成分股配對交易研究[D];浙江大學;2013年

2 丁曄昊;配對交易策略應用于我國A股市場之實證研究[D];浙江工商大學;2013年

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本文編號：1647578