统计套利模型在中国股票市场的实证研究

The Research on the Statistical Arbitrage Model of the Chinese Stock Market

随着中国资本市场卖空机制的不断完善,统计套利等套利策略在中国A股市场的应用将得到发展。通过对统计套利的基本理论、模型方法和交易策略等进行分析,介绍了以协整检验为基础的统计套利模型,利用方差比分析检验价格偏离的可预测性,并制定交易策略。最后将统计套利模型应用于上证50指数中的建设银行和工商银行两支股票进行实证研究,模型表明这两支股票的股价之间具有长期均衡关系,价格偏离具有可预测性,并且样本外检验结果为投资者带来了较好收益。

With the improvement of the short sales mechanism in China’s capital market,the application of arbitrage strategies,such as the statistical arbitrage,in the A-share market of China will be developed.The principal theory,models and trading strategies of statistical arbitrage are analyzed in this paper.This thesis has described a statistical arbitrage which is based on the Cointegration test,and also tested the predictability of stock prices deviation with Variance Ratio analysis and finally made the trading strategy.At last,it has researched the price relationship between China Construction Bank and Industrial and Commercial Bank of China from the Shangzheng 50.The model indicates that the equilibrium relationship between the prices of two stocks exists in the long-term and stock prices deviation is predictable components.The out-of-sample performance of the statistical arbitrage models is profitable.