Research On Pairing Transaction Strategy Of AH Stock Under Interconnection Trading Mechanism

In the 1990 s,since the domestic capital market was still in its infancy,a number of enterprises have listed in Hong Kong.When the domestic capital market matured,such enterprises have once again returned to the mainland A-stocks market for financing.And some large companies that have successfully listed in A-stocks have also chosen to list again in Hong Kong stocks.As a result,a number of special A+H stocks double listed companies have emerged.Since the A and H stocks of such companies are from the same company,the company's stock price fundamentals and profitability are the same.In theory,the long-term trend of the stock prices of such companies' A and H stocks is consistent.Even if the stock price gaps deviate in the short term,they still have a tendency to return.There is a big difference in the investor structure between the A-stocks market and the H-stocks market.Hong Kong stocks are the normative market dominated by institutional investors,and the the characteristics of the retail market in the A-stocks market are still obvious..There is a big gap between the ability of two market stocks to reflect market information and pricing efficiency.Therefore,there is a situation in which the AH stock price deviation deviates from equilibrium,and there is an opportunity for pairing trading.When the AH stock price spread deviates from equilibrium to a certain extent,which means that a pairing transaction can be made.In 2010,the extensive margin financing and securities lending business opened up the road to short-selling A-shares,providing opportunities for the implementation of pairing transactions in China's A-share market.The implementation of the interconnection mechanism represents the beginning of China's securities market and the international developed securities market.In line,it provides realistic feasibility for pairing transactions with AH shares.Based on the basic idea of cointegration theory,this paper studies the method of paired trading based on statistical arbitrage in AH stocks.Firstly,after screening and removing some AH stock companies,it is determined that 60 companies in Shanghai are to be paired,and 17 in Shenzhen,pass the stationarity test.It is found that the AH stocks of the company to be paired are first-order single-order sequences.The Johansen cointegration test method is used to determine the cointegration relationship between the price series of AH shares of 17 companies in Shanghai and Shenzhen.In the simulation pairing transaction stage,this paper determines the paired trading portfolio position based on the cointegration regression model.According to the transaction modeling strategy designed in this paper,the simulation pairing transaction is carried out and the empirical results are analyzed.The conclusions of this paper are obtained:(1)There is an opportunity for pairing transactions between A and H shares of A+H listed companies in China,and the paired transactions can obtain excess returns.The results of the paired trading strategy backtest show that the pairing companies in the Shanghai and Shenzhen stock exchanges have entered into a pairing transaction,both in the sample period and in the sample period.The average winning percentage of 17 A+H listed companies in Shanghai stock market was 72.94%,with an average transaction of 16.29 times.The average annualized rate of return was 41.93%,and the average holding time of paired transactions was 13.61 days.Compared with the yield ratios of the Shanghai and Shenzhen stocks in the same period,it can be found that the paired trading strategy can effectively prevent risks and obtain excess returns during the turbulent A-share market.The average winning percentage of the sample-out-pair trading was 58.5%,and the average annualized rate of return was 12.11%.The average number of matching transactions in the sample range of 5 A+H listed companies in Shenzhen is 20.8,and the average annualized rate of return is 37.51%.Outside the sample period,the average number of matching transactions was 12.4,and the average annualized rate of return was 25.30%.The empirical results show that the annualized rate of return of the A+H in Shanghai or Shenzhen is significantly higher than the annualized rate of bank deposits in the same period,indicating the A and H shares of A+H listed companies.There is room for pairing transactions.The pairing trading strategy adopted in this paper can effectively capture the matching trading opportunities between the A and H shares in the 5-minute price series and obtain the excess return rate.Compared with the A+H share companies in Shanghai and Shenzhen,the number of matching transactions and the transaction yield of A+H companies listed on the Shenzhen Stock Exchange are higher than those of A+H listed on the Shanghai Stock Exchange.It should be that compared with the stocks of the Shanghai Stock Exchange,the average market value of stocks listed on the Shenzhen Stock Exchange is smaller,and the level of activity of investors and investors is higher.(2)After the implementation of the interconnection trading,the longer the pairable transaction can be implemented,the opportunity and yield of the paired transaction will decrease and decrease.The average number of matching transactions of 17 A and H listed companies in the Shanghai Stock Exchange during the study period were 16.29,9.88,8.59 and 5.29 respectively.The average annualized rate of cost and expense was 41.93% and 15.63%,respectively.13.13% and 7.58%.It can be seen from the simulation pairing transaction results that it basically follows the research hypothesis of this paper,that is,the longer the pairing transaction is implemented,the less the chance of pairing transactions,and the lower the yield of pairing transactions.The results of the Shanghai Stock Exchange Matching show that the execution of the paired transaction will,to a certain extent,cause the stock spread to return to equilibrium,which will reduce the potential matching trading opportunities and returns.The innovation of this paper is that the paired trading strategy is applied to the Ashare and H-share markets.It analyzes whether the AH shares have the opportunity of paired trading and the profitability of the paired trading strategy under the interconnection mechanism,and proposes relevant issues for the regulators.Suggestions.At present,China's quantitative transactions have just started,and the interconnection and interoperability mechanism has only been implemented for three or four years.For existing investors in the A and H-share markets,especially for investors pursuing low-risk and capital security,the pairing of this paper.Trading strategy research enables them to provide a reference for matching transactions and guide the cross-market application practice of the paired trading strategy between the two markets.