互联互通视角下 A-H 配对交易绩效的实证研究
Journal: Economics DOI: 10.32629/ej.v9i1.3321
Abstract
互联互通机制增强了中国大陆与香港金融市场的一体化程度。现有研究主要考察其对市场流动性、对称性的影响,而本研究则探究其对配对交易盈利性的影响。尽管理论认为定价效率的提升会降低配对交易收益,但我们的实证分析显示,沪深港通机制实施后,配对交易收益反而增加,而超额收益减少。这一差异表明,使用超额收益而非总收益进行比较,可能得到更符合理论预期的结果。本研究从新视角为市场定价效率的提升提供了实证证据。我们的研究结果丰富了相关理论,为量化投资者提供了实践启示,并为政策制定者评估沪深港通机制的政策效果提供了实证依据。
Keywords
算法交易；配对交易；统计套利；双重上市公司；沪深港通
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