An Empirical Study Of Paired Transactions Based On SUP-CCR-DEA Upstream And Downstream Enterprises

In recent years,hedging transactions have swept the world,using this strategy to hedge the risk of the stock exchange process is the major securities dealers,banks respected methods.The matching transaction is an important way of hedging.That is,the arbitrage is obtained by using two similar stocks whose differential sequence deviates briefly from the mean value.How to choose stock in a pairing transaction is the most important part of the whole strategy,such as classifying the stock according to the risk factor,classifying the stock according to the industry and so on.Choosing the right pairing stock will determine the success or failure of the entire transaction.Based on the previous research,that is,the upstream and downstream enterprises to use 0 venture capital strategy,its performance is different from this conclusion,assuming that in the industry classification based on the further classification of the upstream and downstream enterprises,the absolute return of the stock will be higher than the pure industry matching earnings.Therefore,based on the classical model of paired transaction,we tested the upstream and downstream pairs and matched the classic industry pairs.Test the feasibility and profitability of the upstream and downstream pairing deals.Generally speaking,the matching transaction is divided into three links,the stock selection link,the stock matching link,and the trading signal execution link.This article chooses the same pairing method,as well as the transaction model,to validate different filtering methods to classify the stock into the upstream and downstream categories and verify which classification is better.This paper analyzes the data of Shanghai and Shenzhen 300 and finally verifies that the matching strategy is feasible in Chinese stock market.The rate of success,that is,the number of pairs of shares of the total number of transactions,also reached more than 65%.In a comprehensive way,the stock matching with the upstream and downstream classification has a higher yield.