Loading...

The Profitability of Stocks Pairs Trading Strategy in the Toronto Stock Exchange

Talebi, Hassan | 2017

461 Viewed
  1. Type of Document: M.Sc. Thesis
  2. Language: Farsi
  3. Document No: 49268 (44)
  4. University: Sharif University of Technology
  5. Department: Management and Economics
  6. Advisor(s): Keshavarz Haddad, GholamReza
  7. Abstract:
  8. Since past time, market practitioners and speculators have attempted to use the existent market gaps and opportunities like arbitrage. While some investors buy stocks based on the available financial information of particular companies, others, by using different strategies, try to make profit out of it, based on true realization of the market and its behavior. This strategies will create the profitability by providing different situations including risk hedging and swing trading opportunities .In this context, researchers have designed various strategies for recognizing the assets that have high return potential. One of these strategies in trading with financial tools, is pair trading strategy which is a sub-category of statistical arbitrage. Pair trading can assure approximately risk-free profit gaining. So, the goal of pair trading is to find the relevancy between two (or more) stocks, parts, indicators or other financial instruments. At first, this strategy looks for financial instruments that their prices move jointly. The essence of this movement is adhesion, perpetuity and long-term relationship between the values or prices of these financial instruments.In this research, by applying methods based on distance, co-integration and copula functions, the profitability of pair trading in Toronto stock exchange between January 2014 to June 2016 is evaluated and compared. The experiential results of this research have shown higher output of copula method in comparison to distance method and co-integration approach
  9. Keywords:
  10. Convergence ; Arbitrage ; Pairs Trading ; Mean Reversion ; Spread ; Toronto Stock Exchange

 Digital Object List

 Bookmark

No TOC