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	Profitability of pairs trading tactics in China's stock market
	Tianyong, Huang ; Ming, Deng ; Liang, Wu ; Deng M(邓明)
	2013
关键词	Engineering research Finance Innovation Profitability Silicon
英文摘要	Conference Name:2013 "Suzhou-Silicon Valley-Beijing" International Innovation Conference: Technology Innovation and Diasporas in a Global Era, SIIC 2013. Conference Address: Suzhou, China. Time:July 8, 2013 - July 9, 2013.; Soochow University, Center for Enterprise Innovation and Development (CEID); San Jose State University, Lucas Graduate School of Business; China Institute for Science and Technology Policy at Tsinghua University; UC Berkeley, School of Information; IEEE Technology Management Council; On the hypothesis of short selling being possible in Shanghai stock market, using standardized stock price series, selecting sample based on the constituent stocks of SSE 50 index, this paper tests the profitability of pairs trading tactics. By use of constructing benchmark and bootstrap simulation, this paper demonstrates that pairs trading tactics is profitable in Chinese securities market. The system risk of this tactics is close to zero, which reflects the pairs trading tactics being a market neutral tactics. ? 2013 IEEE.
语种	英语
出处	http://dx.doi.org/10.1109/SIIC.2013.6624176
内容类型	其他
源URL	[http://dspace.xmu.edu.cn/handle/2288/85618]
专题	经济学院－会议论文
推荐引用方式 GB/T 7714	Tianyong, Huang,Ming, Deng,Liang, Wu,et al. Profitability of pairs trading tactics in China's stock market. 2013-01-01.

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