Quantitative finance collector
C++ Matlab VBA/Excel Java Mathematica R/Splus Net Code Site Other
Jan 27

Arbitrage between A-shares and H-shares

Posted by abiao at 23:34 | Default | Comments(22) | Reads(9819)

In my previous post Divergence between duel listed A and H shares I mentioned the test of profitability of arbitrage between Chinese A-shares and H-shares. There are 84 firms with shares publicly tradable in the stock markets of both the mainland and Hong Kong. One would assume the stock prices are at similar level, if not, buying the cheaper stock and holding it may generate profits even after transaction costs.

A preliminary test shows this simple trading strategy (long only as short is not allowed in Chinese stock market) could generate an annualized return at 20.64% with 0.84 Sharpe ratio at a realistic transaction cost. The fund curve against a buy-hold strategy shows this strategy started working quite well in 2013 but not in 2012.
Open in new window

The maximum drawdown, however, is rather large at 29.62% from April, 2011 to July, 2012. Adding stop loss should be able to make it a safer strategy.

roseepeter Email
2019/05/23 17:48
What is A-shares and H-shares and Arbitrage could anyone explain I have to Write My Thesis Paper For Me and need some information on this topic.
sdfsdfds Email Homepage
2019/05/30 17:33
google Email
2019/05/30 17:34
jack Email
2019/06/22 19:44
We amazed using the evaluation a person designed to get this to specific submit amazing. Fantastic exercise!
Niche relevant blog comment
Mayda Email
2019/07/14 21:00
Thanks for sharing the arbitrage between these two shares here. I have a few mates working at the papersowl review company that asked me this, and now I will tell them. They will be so pleased when I share this information with them.
jack Email
2019/07/16 04:37
I just astounded aided by the test most people made to choose this specified share wonderful. Marvelous recreation!  <a href="http://vpassociates.com/our-services-tax-advisor-accountant-services/capital-gains-tax-saving-mitigation/">Capital Gains Tax Advice London</a>
jack Email
2019/07/16 04:40
I just astounded aided by the test most people made to choose this specified share wonderful. Marvelous recreation!
Capital Gains Tax Advice London
Muneer Email
2019/07/16 22:11
A very awesome blog post. We are really grateful for your blog post. You will find a lot of approaches after visiting your post. I was exactly searching for. Thanks for such post and please keep it up. Great work cvv-me.su
internet casino real money nz Homepage
2019/07/21 02:50
Can you tell me the arbitrage between the new online casinos and old regular casinos? I've heard that the internet casino real money nz is better to place your bets, but I need some confirmation for it, since I am shifting to New Zealand very soon.
2019/07/23 08:50
Superb web site! I discovered plenty of helpful points that I’ve wasted a lot of time hunting for on several other web sites. I would definitely endorse it to everyone.
fifa mobile hack
muneer Email
2019/07/31 05:08
Hmm!! This blog is really cool, I’m so lucky that I have reached here and got this awesome information.JSC Result
2019/08/04 19:46
First You got a great blog .I will be interested in more similar topics. i see you got really very useful topics, i will be always checking your blog thanks.
voyance numero
Muneer Email
2019/08/05 17:25
definately enjoy every little bit of it and I have you bookmarked to check out new stuff of your blog a must read blog! ICE
muneer Email
2019/08/06 04:58
This is a truly good site post. Not too many people would actually. the way you just did. I am really impressed that there is so much information about this subject that have been uncovered and you’ve done your best. with so much class. If wanted to know more about green smoke reviews. than by all means come in and check our stuff. xlm news
Alex Email Homepage
2019/08/08 17:49
I have as of late been viewing CRD/An offers and CRD/B offers attempting to make sense of why there is a distinction between the cost of the An and B shares. web design sharjahhttps://www.digitalgraphiks.net/web-design-sharjah
Pages: 1/2 First page 1 2 Next page Final page
Add a comment
Enable HTML
Enable UBB
Enable Emots
Nickname   Password   Optional
Site URI   Email   [Register]