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An Empirical Study On The Alpha Arbitrage Strategy Of The Domestic Stock Market

Posted on:2015-01-12Degree:MasterType:Thesis
Country:ChinaCandidate:K SunFull Text:PDF
GTID:2309330467983659Subject:Finance
Abstract/Summary:PDF Full Text Request
Securities market Alpha arbitrage strategy refers to investors to buy thefund or portfolio, market risk Beta hedged portfolio with stock index futures andother financial derivatives, arbitrage investment strategy based on Beta neutralprinciple. According to the actual situation of domestic securities market, thispaper Alpha on using stock index futures arbitrage strategy for empiricalresearch, discusses the Alpha arbitrage strategy in the domestic securitiesmarket on the actual operation value.This paper first introduces the research background and significance, therelated literature and the content of Alpha arbitrage strategy basic theoryresearch. Arbitrage strategy the empirical part in Alpha, first elaborated theAlpha arbitrage model strategy, proposes the national strategic emergingindustry based on planning, based on the strategic emerging industry andmodern service industry, the general range, with the Alpha momentum strategystock and do an empirical study on the strategies of the Alpha arbitrage. Becausethe country is emerging industries of strategic planning in20125at the end offormal, taking into account the needs of the market a reading period and theperiod of Jiancang, this paper adopted from20129to early20146at the end ofa total of1years and9months of the relevant securities trading data, empiricaltest, obtained the Alpha momentum arbitrage strategy success. In this paper,some problems in the process of Alpha arbitrage strategy, are analyzed and putsforward some concrete measures for correction, and the concrete measures forfurther application to the empirical model, show, the actual effect will be better.This paper is the same stock selection strategy and the same assumptions,but empirical research on Alpha strategy transfer, by comparing the Alphastrategy and Alpha strategy can transfer income, analyzes the different marketconditions adaptability.
Keywords/Search Tags:Alpha arbitrage strategy, momentum strategy, new industries, Portable Alpha Strategy
PDF Full Text Request
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