基於規模效應的大陸銀行股配對交易策略實證研究

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

王小慶(Xiao Qing Wang)

指導教授 ： 莊希豐

淡江大學/商管學院/經濟學系碩士班/碩士(2018年)

https://doi.org/10.6846/TKU.2018.00898

摘要

本文以大陸A股市場的銀行股為對象，通過進行相關性與共整合關係篩選後，把符合條件的配對股進行模擬交易，進而探究股票的配對交易策略績效以及行業內的規模效應，最終為投資者提供在不同市場行情下的投資建議。
首先，通過本文的研究發現，在目前的中國大陸A股市場中，選擇銀行股進行配對交易並不存在優勢，存在兩個可能的原因：其一是大陸A股市場發展不夠成熟，其二是市場的高頻交易導致這種基於統計套利的交易策略的可套利空間越來越小。
其次，本文發現存在較大的相關性是兩檔股票可以進行配對交易的前提條件，但配對的效果與相關性之間卻並不存在直接的聯繫。
最後，本文發現在股市大跌的情況下，所有配對股的策略績效均優於大盤，說明本研究中的配對交易策略是一種防禦性策略而不是進取型策略，適宜用來在熊市中抵擋大盤暴跌風險。從分組情況來看，相較於中規模銀行股與小規模銀行股，大規模銀行股在任何市場行情下下均能獲得正的報酬率，更具備套利的優勢。

關鍵字

配對交易 ； 銀行股 ； 共整合 ； 規模效應

並列摘要

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.

並列關鍵字

Pairs Trading ； Bank shares ； Co-integration ； Scale effect

參考文獻

徐旻君（2014），「配對交易報酬率評估－以寶來卓越五十成分股為例」，碩士論文，國立臺灣大學。

林奇生（2006），「配對交易策略應用於臺灣股票市場之實證研究」，碩士論文，淡江大學。

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