Profitability of pairs trading tactics in China's stock market
- 经济学院－会议论文 
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.