基于最小距离法和协整理论的投资策略  

Investment Strategy Based on Minimum Distance Method and Cointegration Theory

作　　者：黎明辉 LI Minghui(Department of Mathematics,Zhanjiang Preschool Education College,Zhanjiang 524084,Guangdong,China)

机构地区：[1]湛江幼儿师范专科学校数学系,广东湛江524084

出　　处：《科技和产业》2023年第11期114-119,共6页Science Technology and Industry

基　　金：湛江市非资助科技攻关计划项目(2021B01494)。

摘　　要：随着人民币国际化及A股市场的投资限制逐渐放宽,国内市场的股价波动性进一步加剧,增加了投资者的投资风险。在这种情况下,配对交易作为一种较为稳健的投资组合策略逐渐为投资者所青睐。将上证50指数中的银行成分股作为研究对象,以最小距离法对投资策略进行股票配对,并分别采用最小距离交易策略和协整理论交易策略进行交易绩效实测,对交易策略进行评估。研究发现,配对交易在国内市场可以获得良好的收益。With the internationalization of the RMB and the gradual relaxation of investment restrictions in the A-share market,the volatility of stock prices in domestic market has further intensified,which increases investors’investment risks.Under such circumstances,pair trading,as a relatively stable investment portfolio strategy,is gradually favored by investors.The bank constituent stocks in the Shanghai Stock Exchange 50 Index were used as the research object,and the minimum distance method was used to carry out stock matching for the investment strategy,and the minimum distance trading strategy and the cointegration theory trading strategy were used to measure the trading performance respectively,and the trading strategy was evaluated.It is found that pairing transactions can get good benefits in the domestic market.

关 键 词：配对交易 A股市场 最小距离法 协整理论 

分 类 号：F832[经济管理—金融学]