Pairs Trading Using Co-integration Approach On China's Stock Exchange

Xiong-fei Shi ； Chia-Ta Lee

《The 2nd China-ASEAN International Conference 2020 & The 2nd International Conference on Tourism, Business, & Social Sciences 2020:Insight to China and ASEAN's Wellness, Tourism, & Innovation》 2020 (2020/04) Pp. 10-20

https://doi.org/10.6947/caicictbs.202004.0002

摘要

This study examines the profitability from the co-integration approach of Pairs Trading strategy in the China's Stock Exchange. Using the daily data for the constituent stocks of CSI 300 Index during the period from 2010 to 2018, this study examines the long- term relationships between the stock prices, and exploits the arbitrage opportunity for investors. This study examines the profitability from the co-integration approach of Pairs Trading strategy in the China's Stock Exchange. Using the daily data for the constituent stocks of CSI 300 Index during the period from 2010 to 2018, this study examines the long- term relationships between the stock prices, and exploits the arbitrage opportunity for investors. The result shows that Pairs Trading strategy of the co-integration approach helps generate profits with more stability than the market, and the annual returns are more stationary than the market.

關鍵字

Pairs Trading ； Co-integration Approach ； China's Stock Exchange Introduction