Research On The Statistical Arbitrage Strategy Based On China Ping An A+H Shares

On January 29,2018,the Shanghai Composite Index rose to 3,587 points.Since then,the stock market has started a disaster mode under the pressure of Sino-US trade war.In August,the Shanghai Composite Index fell to a low of 2,668 points,and the market index fell in just 7 months.,individual stocks fell by an average of nearly 30%.In the case of such a bad market situation,how to obtain stable investment income has become an issue that most investors need to explore.At this time,quantitative investment has gradually attracted the attention of most investors in the market.Generally speaking,the company should have the same stock price in both A-share and H-share listings,but in reality,the prices between them are often different,which provides ideas for studying cross-market statistical arbitrage.The main problem of this paper is to explore whether there is an opportunity for cross-market statistical arbitrage between the stocks of companies listed in A+H,and then whether the arbitrage rate of return is related to the data frequency if there is statistical arbitrage opportunity.In response to this problem,this paper first selects the sample period of empirical analysis,from September 1,2017 to September 1,2018,to analyze the correlation between the daily closing prices of 89 companies remaining after ST and the sample period.According to the analysis results,China Ping An was finally selected as the empirical object.Then,the data of five kinds of frequencies,such as 5 minutes,15 minutes,30 minutes,60 minutes and daily data,are selected for co-integration test and error correction model.Therefore,there can be an arbitrage opportunity between China Ping An A+H.Finally,the GRACH model is used to determine the trading signals,and MATLAB is used to simulate the arbitrage process to determine the rate of return for each frequency.Based on the above empirical analysis,it can be concluded that the statistical arbitrage strategy designed in this paper can be used to obtain positive returns between the two stocks of China Ping An’s A shares and H shares,and the yield rate is related to the data frequency.This indicates that there are cross-market arbitrage opportunities in China’s stock market and the five frequencies of the selected data in this paper have the highest yields,which also indicates that the data frequency of the statistical arbitrage strategy is not as high as possible.Based on the above conclusions,I hope that the research results of this paper can bring more investment and profit models to Chinese investors,and at the same time establish a more effective price discovery mechanism.