WM-FTBD配对交易建仓改进策略及沪深港实证检验

WM-FTBD Improved Pairs Trading Open Strategy and the Empirical Tests in Shanghai, Shenzhen and Hong Kong Stock Markets

为研究建仓策略对配对交易年收益率影响,文章构建了折回首日WM-FTBD策略,结合GGR和Herlemont策略,在沪深港证券市场交易,运用三种检验方法,从理论和实证得出,FTBD策略成功率和年收益率都更高,同时发现深市年收益率呈离散、尖峰和正偏性,三种方法年收益率深圳最大,上海次之,香港最小且三者差异明显。结果表明,有效建仓策略可总体改进收益,但也承担更多风险,价差动量效应和均值回复效应有助于解释价差变化和收益率差异,配对交易在成熟有效市场不一定适合,但在发展中国家有着广阔的前景。

To investigate the influence of open strategies on the annual rate of return in pairs trading, this paper builds WM-FTBD open strategy, combines GGR and Herlemont open strategies and trading in Shanghai, Shenzhen and Hong Kong stock markets, and applies three testing methods. The conclusion from both theoretical and empirical perspectives is that the success rate and the annual rate of re- turn of FTBD are better. At the same time, the paper discovers that the distribution of annual rate of return in Shenzhen is more discrete, peaky and positive. Of the returns in the three markets, Shenzhen＇ s is the best, Shanghai＇ s is the next and Hong Kong＇ s is the worst. The differences of the return in the three markets are significant. The results show that, the efficient open strategies could improve the in- come overall but bear more risk on the other hand. The momentum effect and the mean reversion effect of price spread help explain the changes of the price spread and the differences of the annual rate of return. Pairs trading is not necessarily fit for the developed and effi- cient stock markets, but has a bright future in the developing countries.