配对交易策略在中国A股市场收益与风险分析

An Analysis of the Strategy of Pairs Trading in the Stock Returns and Risks of China′s A-share Market

分析配对交易策略在中国A股市场的盈利能力和风险敞口对提升股市价格自我纠正功能具有重要意义。选取2010年4月至2019年12月A股股价数据,并从多个维度利用多因子风险分析模型对配对交易在7种市场环境下的收益与风险特征展开分析,实证结果表明,配对交易策略具有稳定的高收益特征和独特的风险特征,同时交易次数和市场规则对该策略的收益水平有显著影响。

For improving the function of self-correction of the stock price,it is significant to analyze the strategy of pairs trading in the stock returns and risks of China′s A-share market.This paper selects the data of A-share price from April 2010 to December 2019,and analyzes the stock returns and risks characteristics of pairs trading in seven markets from multiple dimensions,using the analysis model of multi-factor risk.The empirical results show that the trading strategy has the characteristics of stable high returnsand unique risk,and meanwhile the number of transactions and market rules have a significant impact on the returns level of this strategy.