“两融”背景下证券配对交易投资组合的策略研究  

Pair Trading Strategy Research Considering Margin trading

作　　者：郑青青 罗津[1] 

机构地区：[1]上海交通大学

出　　处：《价格理论与实践》2017年第11期118-121,共4页Price:Theory & Practice

摘　　要："两融"的正式启动标志着国内A股做空时代的来临,为配对交易提供必要的市场环境。本文以上证50成分股为研究对象,先用协整理论进行股票配对,然后用价格相关系数、价格距离分别作为指标筛选股票对构建投资组合,通过对比两类投资组合的套利情况得出以下结论:当投资组合覆盖的股票对较少(资金有限)时,以价格相关系数作为筛选标准能够在平均年化收益和胜率上取得更大优势;但是当投资组合覆盖的股票对较多时,以价格距离作为筛选标准更为适宜。Margin trading marked the advent of short-term domestic A-shares, pro- viding the necessary market environment for pair trading strategy. The empirical analysis in this paper is based on all stocks in the Shanghai 50 index. It makes pairs between those stocks with cointegration firstly, and then constructs two kinds of portfolios in different ways. The stock pairs in the first kind portfolios have high correlation coefficient, while others in the second kind have low price distances. Empirical results show that when portfolios with lesser stock pairs, correlation coefficient is better for picking pairs than price distance. But when portfolios with enough stock pairs, the price distance is more suitable for the standard of picking stockpairs to construct portfolios.

关 键 词：配对交易 投资组合 价格距离 融资融券 

分 类 号：F832.51[经济管理—金融学]