本文選題：配對(duì)交易　切入點(diǎn)：交易策略　出處：《華中科技大學(xué)》2012年碩士論文

【摘要】：中國證券市場(chǎng)在近年來得到飛速發(fā)展，各類基金產(chǎn)品應(yīng)運(yùn)而生，其中，對(duì)沖基金因其回報(bào)的穩(wěn)定性和追求絕對(duì)回報(bào)的特點(diǎn)，得到國內(nèi)外投資者的青睞。而作為對(duì)沖基金的重要交易策略之一，配對(duì)交易策略也隨之受到重視并得以快速發(fā)展。 筆者在對(duì)國內(nèi)外配對(duì)交易策略相關(guān)文獻(xiàn)進(jìn)行詳細(xì)綜述的基礎(chǔ)上，采納國內(nèi)外認(rèn)同度最高的配對(duì)方法——基于趨同性檢驗(yàn)的配對(duì)策略為主要思路，即尋找兩只歷史價(jià)格走勢(shì)相近的股票進(jìn)行配對(duì)。并對(duì)此方法針對(duì)中國證券市場(chǎng)進(jìn)行優(yōu)化和完善，形成完整的配對(duì)交易策略模型。然后利用該模型對(duì)中國A股市場(chǎng)2008年至2010年的數(shù)據(jù)進(jìn)行了處理和研究，以檢驗(yàn)配對(duì)交易策略在在國內(nèi)市場(chǎng)是否可獲利。實(shí)證結(jié)果表明，，基于趨同性檢驗(yàn)的配對(duì)交易策略在交易期內(nèi)與大盤相關(guān)性較低，且與大盤相比，平均年回報(bào)率較高，波動(dòng)率較小，夏普指數(shù)較高。分時(shí)期來看，配對(duì)交易策略在熊市階段和震蕩調(diào)整期回報(bào)率獨(dú)立于大盤顯著較高，有較好的套利效果。而在牛市階段，回報(bào)率略遜于大盤，套利效果一般。 本文中筆者采用的是每兩只股票為一組的配對(duì)方法，這種配對(duì)方式最為直觀和簡便。未來研究者可以朝多只股票組合配對(duì)的方向發(fā)展，并可以嘗試配對(duì)交易策略和其他交易策略的組合策略的方法。
[Abstract]:With the rapid development of Chinese securities market in recent years, all kinds of fund products emerge as the times require. Among them, hedge funds are favored by investors at home and abroad because of the stability of their returns and the characteristics of pursuing absolute returns.As one of the important trading strategies of hedge funds, matching trading strategy has been attached importance and developed rapidly.On the basis of a detailed review of the relevant literature on pairing trading strategies at home and abroad, the author adopts the pairing method with the highest degree of recognition at home and abroad-pairing strategy based on convergence test.That is to look for two historical price trends similar to the stock pair.The method is optimized and perfected for China's securities market to form a complete paired trading strategy model.Then the data of China A-share market from 2008 to 2010 are processed and studied using the model to test whether the matching trading strategy is profitable in the domestic market.The empirical results show that the matching trading strategy based on the convergence test has a lower correlation with the market during the trading period, and compared with the market, the average annual return is higher, the volatility is smaller, and the Sharp index is higher.From the point of view of time, the rate of return of paired trading strategy in bear market and shock adjustment period is significantly higher than that in large market, and it has better arbitrage effect.But in the bull market stage, the rate of return is slightly inferior to the market, arbitrage effect is general.In this paper, the author uses a pair of each two stocks as a group, this pairing method is most intuitive and simple.In the future, researchers can develop toward multiple stock portfolio pairing, and can try to match the combination strategy of trading strategy and other trading strategy.
【學(xué)位授予單位】：華中科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51

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