配对交易、股票市场有效性与一体化  

Pairs Trading,Market Efficiency and Integration

作　　者：闫红蕾[1,2] 赵胜民[3,4] 

机构地区：[1]北京大学光华管理学院,北京100871 [2]嘉实基金博士后工作站,北京100005 [3]南开大学金融学院,天津300350 [4]南开大学中国特色社会主义经济建设协同创新中心,天津300071

出　　处：《系统工程》2016年第11期1-8,共8页Systems Engineering

基　　金：教育部人文社会科学研究规划项目(15YJA790090)

摘　　要：提高B股市场有效性,解决A、B股市场分割是当前我国资本市场发展的重要问题,也是B股市场改革的合理取向。本文利用相对转移模型log t检验研究交叉上市公司A股和B股价差的动态变化,定量的研究A、B股市场一体化水平的动态变化,并利用价差服从广义Pareto分布(Generalized Pareto Distribution,GPD)的VaR模型构造无套利区间,设计了促进市场一体化的交易策略。研究发现A股和B股价格收敛的交叉上市公司数量较少且收敛关系不稳定,A、B股市场一体化程度并未持续提高;交叉上市公司A、B股之间的配对交易或单边交易可以促进价格收敛从而提高一体化程度。本文为B股市场的改革和发展提供了参考方案。To improve B-share market efficiency and solve the problem of market segmentation between A-and B-share markets is a critical issue of capital market reform and development.This paper uses log t test based on transition model to study the dynamic of the gaps between cross listed firms＇ A-and B-shares thus analyzes the evolvement of integration between A-and B-share markets.And this paper constructs arbitrage free intervals by VaR model based on the assumption that gaps follow Generalized Pareto distribution（GPD）thus design trading strategy to eliminate the gaps and improve integration.Empirical result shows that cross listed companies＇ A-and B-shares rarely converge and the A-and B-shares markets are far from integrated,moreover,integration does not improve sustainably.Pairs trading and one-sided trading promotes A-and B-share prices converge and contribute to market integration.This research provides reference for Bshare market reform.

关 键 词：配对交易 无套利区间 logt检验 广义PARETO分布 VAR 

分 类 号：F831[经济管理—金融学]