· 方法论
涉及标的： $EWY
交易思路： 利用韩国 $EWY 期货（美盘）与 SK 海力士（欧盘）的时区差异，进行多市场套利。 如果 $EWY 大幅上涨而 SK 海力士（HY9H）走势平稳： > 买入法兰克福上市的 SK 海力士是一种统计套利。 因为相较于欧洲单只股票，$EWY 的美国期货定价更为准确。 该交易逻辑是——如果美国期货上的韩国指数大幅上涨： -> 鉴于指数集中度高，SK 海力士个股有很大概率跟随上涨（甚至更多）。 本质上是指数与成分股的相关性加上统计套利，并非无风险套利。 我在“淋浴思考”频道举过一个例子：当 $EWY 上涨约 3.8% 时，SK 海力士欧盘仅上涨 0.4%。 > 我预期 SK 海力士 HY9H（当时走势平稳且欧元价差较小）会弥补美国期货与法兰克福市场之间的延迟，并在次日定价。 我能在收盘前获得不错的成交，且未大幅推动股价，然后在当天或下一个欧洲交易日卖出，获利几个百分点。 总结： 外国股票中存在与时区相关的低效现象。 这些思路在被他人发现前可能是金矿。但这个具体思路在太多人看到后可能已经失效。 但市场低效确实存在。
Trade idea: Korean $EWY Futures (US) -> SK Hynix (EU) time zone, multi-venue arbitrage. If EWY is up a lot while SK Hynix (HY9H) is flat: > Buying SK Hynix Frankfurt is a statistical arbitrage. as US futures in $EWY are accurate compared to EU single stock. The trade was - if Korean Indexes on US futures go up by a large amount: -> SK Hynix individually has a high probability of going up by similar amounts (if not more) given high index concentration. Basically index to component correlation + statistical arbitrage, not risk-free arbitrage. One example I posted in my shower thoughts channel was when $EWY was up ~3.8% then SK Hynix EU was only up .4%. > My expectation was SK Hynix HY9H (which was close to flat + spread on EUR) would play catchup to the delay between US futures and Frankfurt > be priced in the next day. Was able to get a decent amount of fill near close before moving the stock too much, then sell same day or next EU trading day for a few percent gain. TLDR: Time-zone related inefficiencies can be found across foreign equities. These ideas can be a gold mine before it gets discovered by others. This idea in specific is now likely gone after too many people see this. But, market inefficiencies do exist.