Research On Matching Strategy In Secondary Capital Market

March31th2010, The Shenzhen Stock Exchange and Shanghai Stock Exchangenotified officially launched the pilot margin trading,short in China can do more toestablish two-way trading mechanism for pair trading strategies of investors in hedgestrategy for the development of the market environment. It brings short selling a ne wtool, and will surely have a great influence on the stock market. At the same time, newtrading tools also allow investors have to face more complicated market environmentand the way to trade.The innovation of this paper：first, by pairing trading ideas to design the ExchangeTraded Funds arbitrage strategy, further enrich the theoretical research of ExchangeTraded Funds arbitrage strategy. Second, the paper for the first time will turn debt intostock pairs trading portfolio, by holding A bond/empty B shares trading strategyimplementation to approximate matching, and ultimately strategy empirical study,make trading strategy can effectively circumvent the risk of falling and rising sharegains.In this paper, based on the cointegration method of matching statistical arbitragetrading strategy for Shanghai stock dividend Exchange Traded Funds empirically withthe Shanghai180Exchange Traded Funds, which make relatively objective Shanghaidividend Exchange Traded Funds and the Shanghai management180ExchangeTraded Funds arbitrage strategy across varieties, and the obtained under strategywithout situation carries on the analysis of the market to get a stable absolute return,and further verify the feasibility of statistical arbitrage capital market in our country.At the same time, this paper, selects2011,2years on May11,22to2012Exchange Traded Funds and margin target on March31,2011to December31,2013,margin daily closing price of the convertible bonds as sample data, such as study theExchange Traded Funds matching pairs trading strategy and convertible bonds aretrading strategy design problem. The validity of the simulation by pairing statisticalarbitrage trading strategy, trying to study securities lending and borrowing business after launch, the secondary capital market under the Exchange Traded Funds marketand the realization of the paired trading convertible bonds market.