基于融资融券的配对交易策略研究——以海螺水泥和华新水泥公司为例

Research on the Matching of the Margin Trading——Taking Conch Cement and Huaxin Cement as An Example

随着我国证券市场的不断发展,配对交易策略的研究将会得到快速的应用。本文旨在以融资融券为基础来对配对交易进行实证研究,期望为将来配对交易策略能够广泛成熟的应用于资本市场提供参考价值。选取主营业务相同、对市场信息的反应较为相似、股票具有良好的流动性的海螺水泥跟华新水泥为标的。通过海螺水泥和华新水泥的2008年6月6日到2014年5月22日之间的同步交易日的所有收盘价数据,对他们的相关性进行分析,并且对他们的收盘价数据的单位根和协整检验也进行了实证分析,发现配对交易系统对他们运用有效,并能获得低风险的稳定的绝对收益。

With the continuous development of China＇s securities market, research on pairing trading strategy will be applied quickly.Therefore, this article is intended to take finance margin as a basis for empirical research on pairs trading, and want to provide a reference value for future pairs trading strategy, which can be applied to a wide range of mature capital markets. This article researched on pairing margin trading strategies. Firstly elaborated the significance of pairing based on the margin trading strategy, and literature abroad and pairing margin transactions were reviewed. Then this paper paired with margin trading strategies as the basis for the subject by pairing transactions.Select Huaxin Cement and Conch Cement with the same main core business, the market＇s reaction and the good stock flowability for the subject. By the day closing price data of Conch Cement and Huaxin Cement from Jun 6,2008 to May 22, 2004, it analyzed their relevance and data units root and cointegration and found that they matched the effective use of the trading system, and to obtain a stable low-risk absolute returns.