Welcome to Francis Academic Press

Academic Journal of Business & Management, 2021, 3(11); doi: 10.25236/AJBM.2021.031106.

Empirical Research on pairs trading -- Based on ICBC and Agricultural Bank of China


Ganyin Cai

Corresponding Author:
Ganyin Cai

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

Cite This Paper

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.


[1] Friedrich W(2020). Köster, Bastian Huwer, Gerd Kraus et al. Egg production methods applied to Eastern Baltic cod provide indices of spawning stock dynamics[J]  Fisheries Research, p227

[2] Steven X(2020). Cadrin Spatial Structure: Theory, estimation and application in stock assessment models[J]  Fisheries Research, p229

[3] Sai Liang, Yafei Wang, Tianzhu Zhang et al(2017). Structural analysis of material flows in China based on physical and monetary input-output models[J]  Journal of Cleaner Production, p158

[4] Distribution of the estimators for autoregressive time series with a unit root. Dickey DA, Fuller WA. Journal of the American Statistical Association. 1979

[5] Cointegration and Error Correction: Representation, Estimation and Testing. Engle RF, Granger CWJ. Econometrica . 1987