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中国管理科学 ›› 2016, Vol. 24 ›› Issue (4): 1-9.doi: 10.16381/j.cnki.issn1003-207x.2016.04.001

• 论文 •    下一篇

融资融券背景下证券配对交易策略研究——基于协整和距离的两阶段方法

胡伦超1, 余乐安2, 汤铃2   

  1. 1. 中国科学院数学与系统科学研究院, 北京 100080;
    2. 北京化工大学经济管理学院, 北京 100029
  • 收稿日期:2015-03-01 修回日期:2015-05-26 出版日期:2016-04-20 发布日期:2016-04-29
  • 通讯作者: 汤铃(1983-),女(汉族),广西桂林人,北京化工大学经济管理学院,副教授,研究方向:商务智能、数据控掘、仿真模拟、能源经济等,E-mail:tangling@mail.buct.edn.cn. E-mail:tangling@mail.buct.edn.cn
  • 基金资助:

    国家杰出青年科学基金资助项目(71025005)

Pairs Trading Strategy Research Considering Short Selling and Margin Trading: A Two-Stage Approach Based on Cointegration and Distance Methods

HU Lun-chao1, YU Le-an2, TANG Ling2   

  1. 1. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100080, China;
    2. School of Economics and Management, Beijing University of Chemical Technology, Beijing 100029, China
  • Received:2015-03-01 Revised:2015-05-26 Online:2016-04-20 Published:2016-04-29

摘要: 国内融资融券政策的正式启动,为证券配对交易实施提供了必要的市场环境,使其成为一种新兴有效的投资手段。基于协整配对法和距离配对法,本文构建了一种新的两阶段配对交易策略。在股票配对选择方面,首先采用协整分析选出具有相似股价走势的候选股票对;其次,采用欧式距离计算各候选配对股票距离,以距离最小为依据选择最佳股票配对,以避免同一股票同时被买入和卖空的风险。在资金分配方面,考虑当前融资融券交易制度背景,求解资金有限约束下的最优资金分配方案,以保证模型设计更为接近实际交易情况。以上证50指数成分股为实证对象,实证研究结果表明不同费率情景下,构建的新两阶段方法均能获得超额收益,且其效果明显优于仅考虑协整关系的配对交易策略;同时,敏感性分析验证了新方法的稳定性。

关键词: 投资组合, 配对交易, 协整分析, 距离估计, 融资融券

Abstract: China has established the policy of short selling and margin trading, which enables the pairs trading strategy to be a promising tool for financial investment. This study tries to formulate a two-stage pairs trading strategy based on cointegration method and distance estimation. In particular, the cointegration approach is applied to all possible pairs of stocks to check the potential cointegration relationship, and the distances of the pairs with cointegration relationship are measured to finally determine the optimal pairs with minimum distances. Furthermore, the optimal pairs portfolio is given weighted by cointegration coefficients under finite investment budget, considering short selling and margin trading. To verify the effectiveness of proposed approach, the Shanghai 50 Index stocks are used as study samples. Empirical results show that the novel two-stage model outperforms the benchmark model only considering cointegration relationship, in term of excess returns. Besides, the sensitivity analysis confirms the robustness of the model.

Key words: portfolio, pairs trading, cointegration analysis, distance estimation, short selling and margin trading

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