Pairs trading in the Taiwan, Hong Kong, and China stock markets before and after short-selling deregulation

賣空限制解禁前後、配對交易策略獲利性在台港中股市的變化特徵

根據1990／1／4～2017／6／30的實證數據，在考慮倒閉風險與不同的配對投組建構指標後，整體而言，陸股沒有配對交易的獲利特徵，而台股的獲利特徵則較港股與陸股來的明顯；特別是台股與港股金融區塊中的配對部位，顯示台灣與香港股市中存有產業效果。但是這些獲利性會隨著市場放空限制的解除而明顯下降，如此隱含隨著交易摩擦程度的下降，降低了交易者的賣方操作成本、提升了配對交易活動的強度與效率性，配對交易策略的獲利性也因此而降低。本文同時發現投資人若是出現投資紀律問題而長抱配對部位時，會產生額外的損失或是誤判配對交易的獲利前景。

This research explores the performance of pair-trading strategies in the Taiwan, Hong Kong, and China stock markets. While their profitability in the China and Hong Kong markets is not as significant as that in the Taiwan market, the empirical results are robust to bankruptcy risk and different filters of pair trades during 1990/1/4~2017/6/30. The industry effect for financial pair trades prevails in the Hong Kong and the Taiwan markets, but its significant and positive profitability drops after those markets’ short-selling deregulations appear. This study also notes that a lack of investor discipline raises a misleading comprehension for pair-trading profitability in the three markets.