The Analysis On Looking For The Arbitrage Opportunities In Short-term Based On Backswing Transaction

As the deepening degree of the marketization of stock market in China, short-term fluctuations in the stock market have attracted domestic and foreign scholars’attention. Different degrees of short-term fluctuations are caused by different tradingmechanism. Since the establishment of the Shanghai Stock Exchange and ShenzhenStock Exchange, the stock market trading mechanism in China is also continuousimproving and developing. China’s stock market backswing transaction has changedfrom the beginning of the "T+1" to "T+0" and finally return to "T+1". Rotarytrading day (T+0) is a securities trading system which has widely used in theinternational securities markets, therefore, it is of great significance to analyze theshort-term fluctuations of the stock market.As investors’ arbitrage behavior in the stock market is more and more popular,the arbitrage in short-term is attracting investors’ attention. On the method ofarbitrage, domestic and foreign scholars have made a lot of research, it is adevelopment progress of asset pricing to analyze from CAPM to APT, APT is a goodalternative pricing models relatively CAPM. Most scholars’ perspective of arbitragepricing factors are the number of factors and the choice of factors, committing theprincipal component and factor analysis, which are the study of technical methods ofextraction of factors. They don’t give a clear answer to the real factors. The analysisof APT single factor only limited single factor itself, ignoring the impact of single-factor variance itself.This analysis expands the traditional single-factor model, adding the variance ofthe common factors. That will be detailed in the producing of securities assets yield. Itwill provide a reference advice for the investors of short-term to test the short-termarbitrage opportunity.The analysis ideas are in the following points:Firstly, it is relevant literature review, combined with the reality of thedevelopment of the stock market in China, putting forward the study on selection ofarbitrage opportunities in short-term based on backswing transaction. Secondly, theshort-term arbitrage theory are reviewed, from the point of the general method ofarbitrage in short-term based on backswing transaction, the basic principles of thearbitrage market trading mechanism in real stock market and the method of lookingfor the arbitrage opportunities.Then the analysis makes a descriptive statistical analysis of the Shanghai andShenzhen300index fluctuations, from the point of the closing price yield, amplitude,quote change, describing each index of the measure of short-term fluctuations fromthe point of the mean, variance, skewness, peak degree, and QQ diagram.Finally, the analysis put forward the arbitrage pricing model of adding thecommon factor variance, combining the single factor arbitrage pricing theory and the fluctuations in Shanghai and Shenzhen300stock index. The analysis selects theyields of the22stocks from the22industry stocks, the Shanghai Composite Indexand Shenzhen Composite Index of five-minute, applying high-frequency data to dothe empirical analysis by using the expanded APT model, concluding that there is alinear relationship between the yield of the single stock and the deviation, the varianceof the common factors, the investors can select the arbitrage opportunities bycomparing the yields generating from the deviation and fluctuation of common factorsto the sum of the stock transaction costs and taxes.