亚洲存托凭证的均值回归与配对交易
文章 arXiv papers · 作者: Tim Leung et al.
总结
本研究考察亚洲美国存托凭证，所涉市场的交易时段与相关外国股票的交易时段并不一致。研究将ADR收益分为美国市场交易时段和隔夜时段的收益，并将每种ADR与跟踪标普500的ETF——SPY进行比较。报告称，收益差呈现均值回归特征，并使用最大似然估计将其拟合为Ornstein–Uhlenbeck过程。
基于这一观察，作者构建并回测了交易ADR与SPY的配对策略，在选定的价差水平入场和离场。报告称，同时做多ADR并做空SPY时，收益持续为正。所提供的说明未列明样本期间、交易阈值、交易成本或风险调整后结果，因此无法证明回测表现能否在计入实施成本后或其他时期持续。
核心观点
- 分析将亚洲ADR收益分为美国交易时段和隔夜时段的部分。
- 报告称，相对于SPY的ADR收益形成了均值回归序列。
- 研究使用最大似然法将Ornstein–Uhlenbeck过程拟合到收益差。
- 研究回测了在选定入场和离场水平做多ADR、做空SPY的配对交易。
- 报告称策略收益为正，但未提供交易成本及其他稳健性详情。
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# Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies # Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies American Depositary Receipts (ADRs) are exchange-traded certificates that rep- resent shares of non-U.S. company securities. They are major financial instruments for investing in foreign companies. Focusing on Asian ADRs in the context of asyn- chronous markets, we present methodologies and results of empirical analysis of their returns. In particular, we dissect their returns into intraday and overnight com- ponents with respect to the U.S. market hours. The return difference between the S&P500 index, traded through the SPDR S&P500 ETF (SPY), and each ADR is found to be a mean-reverting time series, and is fitted to an Ornstein-Uhlenbeck process via maximum-likelihood estimation (MLE). Our empirical observations also lead us to develop and backtest pairs trading strategies to exploit the mean-reverting ADR-SPY spreads. We find consistent positive payoffs when long position in ADR and short position in SPY are simultaneously executed at selected entry and exit levels.
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