University of Nottingham Ningbo China, Ningbo, Zhejiang, China
Based on the theory of paired trading, this paper deals with the actual transaction data of A-shares of Industrial and Commercial Bank of China and Agricultural Bank of China through empirical methods to verify the possibility of paired trading. The main conclusions of this paper are as follows: Although the time series data of ABC and ICBC contain unit root after DF test, the Engle-Grange test proves that the sequence regression of the two is co-integrated, and the relative price relationship with statistical significance can still be generated, and finally the pair trading can be realized.
Pair trading; time series; Dickey-Fuller test; unit root
Ganyin Cai. Empirical Research on pairs trading -- Based on ICBC and Agricultural Bank of China. Academic Journal of Business & Management (2021) Vol. 3, Issue 11: 31-36. https://doi.org/10.25236/AJBM.2021.031106.
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