CAJ | 학술논문

基于转移模型，收集中国A股市场开展融资融券业务的900只股票和15只ETF的数据，采用log t检验和俱乐部收敛检验研究A股市场属于同一行业的融资融券标的股票价格以及融资融券标的ETF价格之间的收敛关系及其动态变化，分析A股市场统计套利的风险，研究发现基于股票所属行业构建套利组合具有较大风险，融资融券的双向交易机制尚未充分发挥，市场有效程度不足，但统计套利在中国市场仍具有可行性。实证结果表明，从整个行业看，融资融券标的股票之间不存在持续、稳定的收敛关系，但同一行业内某些个股之间存在不稳定的俱乐部收敛关系；融资融券标的分阶段扩容增加统计套利的风险，也增加统计套利的机会，扩容之后绝大部分行业个股整体收敛关系消失，但俱乐部数量增加，俱乐部收敛检验可以为选择套利资产组合提供依据；考虑新增标的在内， ETF整体在样本期间内具有稳定的收敛关系，更适合作为套利资产组合。样本外检验证实了前述结果。研究结论为对冲基金进行统计套利风险分析提供经验证据，并为选择套利资产组合提供方法。
기우전이모형，수집중국A고시장개전융자융권업무적900지고표화15지ETF적수거，채용log t검험화구악부수렴검험연구A고시장속우동일행업적융자융권표적고표개격이급융자융권표적ETF개격지간적수렴관계급기동태변화，분석A고시장통계투리적풍험，연구발현기우고표소속행업구건투리조합구유교대풍험，융자융권적쌍향교역궤제상미충분발휘，시장유효정도불족，단통계투리재중국시장잉구유가행성。실증결과표명，종정개행업간，융자융권표적고표지간불존재지속、은정적수렴관계，단동일행업내모사개고지간존재불은정적구악부수렴관계；융자융권표적분계단확용증가통계투리적풍험，야증가통계투리적궤회，확용지후절대부분행업개고정체수렴관계소실，단구악부수량증가，구악부수렴검험가이위선택투리자산조합제공의거；고필신증표적재내， ETF정체재양본기간내구유은정적수렴관계，경괄합작위투리자산조합。양본외검험증실료전술결과。연구결론위대충기금진행통계투리풍험분석제공경험증거，병위선택투리자산조합제공방법。
Statistical arbitrage, theoretically is riskless, however the prices of the assets might diverge, forcing investors who ex-ploit the relative mispricing of assets to unwind some of their positions at spectacular loss.Convergence of the arbitrage assets'prices is a fundamental issue of statistical arbitrage since the unsteady convergence relationship between arbitrage assets causes arbitrage risk, cost as well as expected return of arbitrage.Based on transition model proposed by Phillips and Sul (2007) , this paper studies convergence among the securities eligible for margin trading in A share market, and analyzes the risk of statistical arbitrage. <br> With the empirical study on the trading data of all the securities eligible for margin trading from April 2010 to June 2015, we find constructing portfolio solely by stocks′sector is risky, and high risk of arbitrage implies the market lacks efficiency as the market is inefficient in correcting the mispricing, which is consistent with intuition.However, statistical arbitrage in A-share market is feasible.Result shows that the stocks of identical sectors as a whole do not converge steadily or robustly.Stocks of manufacture, real estate, non-bank finance, etc.converge as a whole through the first phase, but after the expansion of the eligible list of mar-gin trading, convergence in the whole sector diminishes.However, this does not deny the feasibility of statistical arbitrage, the phase-in expansion of eligible list brings opportunities as well as risks since more eligible stocks increase both diversity and com-plexity of asset selection as some newly added stocks converge with the existing stocks while others do not.By testing the conver-gence within the sectors, we find certain stocks converge and form subgroups which are referred as club convergence in this pa-per.Clubs increase with the expansion of eligible list although they do not increase strictly across different phases.Compared with stocks, the ETFs as a whole group converge robustly and the newly added ETFs converge with the existing ETFs across all the phases, which ensure their applicability for statistical arbitrage.Out of sample test confirms the aforementioned findings, and club convergence maintains for a certain period and provide arbitrage opportunities, therefore club convergence test could serve as an instrument for arbitrage portfolios selection. <br> Margin trading is prevailing and both academicians and practitioner focus on developing arbitrage strategies, yet the risk of arbi-trage is ignored.This paper sheds light on the risk of statistical arbitrage and provides empirical evidence for hedge fund.Moreo-ver, we propose applicable methods of constructing arbitrage portfolios.In order to improve market efficiency through margin trading and arbitrage, we suggest the price and quantity of capital and stocks be determined by market competition rather than regulation or arbitrary decision of brokers.