紀要論文

日本株式市場におけるパンデミック時のペアトレード戦略

PAIRS TRADING STRATEGIES DURING PANDEMIC IN JAPANESE STOCK MARKET

jpn

24368083

https://doi.org/10.15002/00025408

法政大学大学院理工学研究科

法政大学大学院紀要. 理工学研究科編

63

1

7

2022-03-24

Version of Record

A pairs trading is often said to make a profit stably by using two highly correlated stocks. The stock price difference between two highly correlated stocks is stable within a certain range. When the price difference is higher than the average, buy low-priced stock and short high-priced stock. When the price difference returns to the average, make reverse trading to obtain income. It also has the advantage that it is less affected by market changes. This paper conducts numerical experiments on several optimal strategies to compare the performance of each strategy, and investigates the effectiveness of pairs trading during the COVID-19 pandemic in Japanese stock market. As a strategy with discrete time transactions, a distance method which is called GGR method is adopted. Its thresholds for trading are exogenously determined as 2! from the regression level without any theoretical reasons. To improve the approach, we use theoretically optimal thresholds based on the maximization of expected return. Also, we introduce an optimal continuous pair trading strategy and compare its results to those of two other methods. Finally, we study the impact of cointegration.

Article