本文關(guān)鍵詞：配對交易策略應(yīng)用于我國A股市場之實(shí)證研究　出處：《浙江工商大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 配對交易 協(xié)整 統(tǒng)計(jì)套利 GARCH模型

【摘要】：隨著經(jīng)濟(jì)環(huán)境的變化以及金融市場的發(fā)展,我國國內(nèi)投資者的需求也越來越趨于多樣化。一方面,近年來我國A股市場總體上處于震蕩下跌的趨勢,在只有做多才能獲利的股市中,通過傳統(tǒng)的低買高賣方法在股市中獲利已經(jīng)變得越來越困難；另一方面,各種各樣的新型金融產(chǎn)品的推出,也為運(yùn)用多樣化的投資策略打開了大門。2010年3月,隨著融資融券制度的推出,A股市場不再是純粹的單邊市場,做空A股而獲利的道路被打通,投資者在A股市場通過配對交易獲利成為可能。在西方資本市場,配對交易已經(jīng)成為一種風(fēng)險(xiǎn)較低、收益穩(wěn)定的投資方式,本文試圖研究配對交易應(yīng)用于我國A股市場的可行性。 本文通過回顧國內(nèi)外文獻(xiàn),利用2010到2012年的股票價(jià)格數(shù)據(jù)對配對交易進(jìn)行實(shí)證分析。首先通過相關(guān)性分析篩選出進(jìn)行配對交易的兩只股票,并對這兩只股票進(jìn)行單位根檢驗(yàn)和協(xié)整檢驗(yàn),將這兩只股票構(gòu)建成一個(gè)資產(chǎn)組合,然后通過常數(shù)方差模型建立交易規(guī)則進(jìn)行操作。操作時(shí)以樣本內(nèi)數(shù)據(jù)為配對期,樣本外數(shù)據(jù)為預(yù)測期,對操作結(jié)果進(jìn)行分析,發(fā)現(xiàn)常數(shù)方差模型的不足,對其進(jìn)行改進(jìn)得到新策略,建立了基于GARCH模型的操作方法。最后對這兩種方法從收益、風(fēng)險(xiǎn)等幾個(gè)角度進(jìn)行比較,最終得出結(jié)論,基于統(tǒng)計(jì)套利的配對交易策略是一種不基于市場總體走勢判斷的投資策略,是獨(dú)立于市場走勢的,在中國A股市場上運(yùn)用配對交易策略是可行的,并且基于GARCH模型的操作策略要略優(yōu)于使用常數(shù)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.
【學(xué)位授予單位】：浙江工商大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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