题名

Copula-Based Pairs Trading in Asia-Pacific Markets

并列篇名

亞太市場中基於連結函數之配對交易的表現

DOI

10.6545/JFS.2016.24(4).1

作者

Wenjun Xie；Zhao Zhi Toh；Yuan Wu

关键词

Pairs trading ； distance method ； copula ； dependence ； Asia-Pacific markets ； 配對交易 ； 距離法 ； 關聯結構 ； 相關性 ； 亞太市場

期刊名称

財務金融學刊

卷期/出版年月

24卷4期（2016 / 12 / 31）

页次

1 - 17

内容语文

英文
中文摘要

The global standing of the Asia-Pacific market has strengthened in both market capitalization and trading volume. This paper examines a popular speculative trading strategy called pairs trading in this region, with the focus on our proposed copula approach. Compared to the conventional method which implies that stock returns follow a multivariate normal distribution, the copula approach allows flexibility in estimating the joint distribution of stock returns. This then provides a better description of the dependence between stocks. Empirical results demonstrate the effectiveness of this new approach in the Asia-Pacific region, with significantly higher returns compared to the conventional method.
英文摘要

亞太市場在全球的地位日益提升。本文探討亞太市場中投機策略－配對交易－之表現。相較於傳統配對交易策略中股票報酬率為多元常態分配，我們提出的關聯結構配對交易策略可突破此限制，彈性預估股票報酬率之聯合分配，從而更準確描述其相關性。實證結果顯示關聯結構策略之平均報酬率明顯高於傳統策略。
主题分类 社會科學 > 經濟學
社會科學 > 財金及會計學
参考文献
  1. Andrade, Sandro, Vadim Di Pietro, and Mark Seasholes, 2005, Understanding the profitability of pairs trading, Working paper.
  2. Xie, Wenjun, Rong Q. Liew, Yuan Wu, and Xi Zou, 2014, Pairs trading with copulas, Working paper
  3. Ane, Thierry,Kharoubi, Cecile(2003).Dependence structure and risk measure.Journal of Business,76,411-438.
  4. Conrad, Jennifer,Kaul, Gautam(1989).Mean reversion in short-horizon expected returns.Review of Financial Studies,2,225-240.
  5. Cont, Rama(2001).Empirical properties of asset returns: Stylized facts and statistical issues.Quantitative Finance,1,223-236.
  6. De Long, James B.,Shleifer, Andrei,Summers, Lawrence H.,Waldmann, Robert J.(1990).Noise trader risk in financial markets.Journal of Political Economy,98,703-738.
  7. Do, Binh,Faff, Robert(2010).Does simple pairs trading still work?.Financial Analysts Journal,66,83-95.
  8. Fama, Eugene F.,French, Kenneth R.(1993).Common risk factors in the returns on stocks and bonds.Journal of Financial Economics,33,3-56.
  9. Ferreira, Luan(2008).New tools for spread trading.Futures,37,38-41.
  10. Gatev, Evan,Goetzmann, William N.,Rouwenhorst, Geert(2006).Pairs trading: Performance of a relative-value arbitrage rule.Review of Financial Studies,19,797-827.
  11. Jegadeesh, Narasimhan(1990).Evidence of predictable behavior of security returns.Journal of Finance,45,881-898.
  12. Jegadeesh, Narasimhan,Titman, Sheridan(1995).Overreaction, delayed reaction, and contrarian profits.Review of Financial Studies,8,973-993.
  13. Li, Fuchun(2014).Identifying asymmetric comovements of international stock market returns.Journal of Financial Econometrics,12,507-543.
  14. Liew, Rong Q.,Wu, Yuan(2013).Pairs trading: A copula approach.Journal of Derivatives and Hedge Funds,19,12-30.
  15. Lipinsky, Fabian,Ong, Li L.(201).Asia's stock markets: Are there crouching tigers and hidden dragons?.
  16. Perlin, Marcelo S.(2009).Evaluation of pairs-trading strategy at the Brazilian financial market.Journal of Derivatives and Hedge Funds,15,122-136.
  17. Pizzutilo, Fabio(2013).A note on the effectiveness of pairs trading for individual investors.International Journal of Economics and Financial Issues,3,763-771.
  18. Sklar, Abe(1959).Fonctions de répartition á n dimensions et leurs marges.Publications de l'Institut de Statistique de L'Universite de Paris,8,229-231.
  19. Xie, Wenjun,Wu, Yuan(2013).Copula-Based pairs trading strategy.Asian Finance Association (AsFA) 2013 Conference
print cancel