基于股票价格差异的配对交易策略

基于一个衡量股票间价格差异的指标进行了股票组合的配对, 并根据该配对规则对中国市场2006-2009年的配对交易策略进行了实证测算。实证结果表明:该配对交易策略获得的月度化收益均值约为1%左右, 且策略的收益水平和同期的市场状况无关, 说明基于价格差异的配对交易策略在中国市场是可稳定获利且市场中性的;价格差异越大的配对组合, 触发多空建仓的平均价差阀值也随之增大, 但对建仓后价差收敛至触发多空平仓的时间, 不同价格差异的配对组合平均都不超过23天, 这表明基于价格差异的配对交易策略在中国市场上属于短期投资策略。

Pairs Trading Research Based on Stock Price Distance

This study matched stocks into pairs with a measure of minimum price distance, and based on this matching rule, it tested the pairs trading strategy with daily data over 2006-2009 in Chinese market. Empirical results show that the pairs trading strategy yields average 1% monthly return, and these returns are unrelated to market conditions, which demonstrates that this pairs trading strategy can get a stable profit and is market-neutral in Chinese market. The pair which has bigger price distance also has a higher average spread threshold to trigger opening transaction in pairs trading. However, as to the time converging to spread threshold which triggers closing transaction, all of them take no more than 23 days regardless of price distance, which indicates that this pair trading strategy in Chinese market is a short-term investment strategy.