Not logged in.
Quick Search - Contribution
Contribution Details
| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Is pair trading strategy still profitable? An empirical study on different stock markets using cointegration and copulas methods |
| Organization Unit | |
| Authors |
|
| Supervisors |
|
| Language |
|
| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 93 |
| Date | 2022 |
| Abstract Text | This thesis has conducted a thorough examination of the performance of two distinct pairs trading strategies — the cointegration and copula methods — on three equity markets, namely the US, Japanese, and Swiss markets using daily closing prices from January 2000 to December 2020. Those strategies lead to mean excess daily returns, ranging from -2.4185 (-3.7430) to 3.5026 (2.1405) basis points before (after) transaction costs depending on the portfolio size and on the analyzed equity market. After adjusting for numerous risk variables, all strategies, except for the Japanese market based on the copula method after transaction costs, exhibit statistically significant alphas. |
| Export |
BibTeX
|