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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
  • Giuseppe Scafiti
Supervisors
  • Per Nils Anders Östberg
Language
  • English
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.
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