An Empirical Study on the Pairs Trading Strategy of Mainland Bank Shares Based on Scale Effect

• Main Authors: Xiao Qing Wang, 王小慶
• Other Authors: 莊希豐
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/3q8775

碩士 === 淡江大學 === 經濟學系碩士班 === 106 === This paper takes the banking shares in the mainland China A-share market as the object, through the screening of the correlation and the co-integration relationship, and then simulates the matched stocks to explore the pairs-trading performance and the scale effect in the bank industry. Finally, provides the investor investment advice in the different market conditions. First of all, there is no advantage in choosing bank stocks for pairwise trading in the A-share market of mainland China. There are two possible reasons for this: firstly, the development of mainland A-share market is not mature enough and secondly high-frequency trading led to this based on statistical arbitrage trading strategy arbitrage space getting smaller and smaller. Secondly, there is a large correlation between the two stocks is a prerequisite for pairs trading transactions, but there is no direct correlation between the strategy effect and relevance. Finally, in the case of the stock market crash, all the stock pairs performed better than the market, indicating that the pairs trading strategy in this study is a defensive strategy rather than an aggressive strategy, suitable for the bear market to withstand the slump risk .Compared to the medium-scale banking stocks and small-scale banking stocks, large-scale banking stocks can get positive return under any market conditions.