The Co-movement Analysis of A + H Stocks Based on CHMM

DOI

10.2991/ammsa-17.2017.37How to use a DOI?

Keywords

linkage of price fluctuation; A+H stocks; trading strategy; Coupled Hidden Markov Model

Abstract

The implementation of the Shanghai-Hong Kong Stock Connect program and Shenzhen-Hong Kong Stock Connect program mark the gradual opening up of capital account in our financial markets and the relaxation of exchange rate and interest rate control. It makes the arbitrage mechanism of A+H stocks, trading strategies and risk management become more flexible and get more attention. We chose the A+H stocks which were listed both in the mainland China and Hong Kong stock market as our research objects. Then, we conducted a co-movement analysis for the current A+H stocks using econometrical methods and statistical model. Finally, taking the stock of China Pacific Insurance and Angang Steel Company Limited as examples, we studied the co-movement of their A+H stocks and reasonable trading strategies.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Shulan Hu
AU  - Xuan Zhang
AU  - Pengfei Tian
PY  - 2017/05
DA  - 2017/05
TI  - The Co-movement Analysis of A + H Stocks Based on CHMM
BT  - Proceedings of the 2017 International Conference on Applied Mathematics, Modelling and Statistics Application (AMMSA 2017)
PB  - Atlantis Press
SP  - 175
EP  - 179
SN  - 1951-6851
UR  - https://doi.org/10.2991/ammsa-17.2017.37
DO  - 10.2991/ammsa-17.2017.37
ID  - Hu2017/05
ER  -