IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-04544277.html
   My bibliography  Save this paper

Empirical Study of Pairs Trading in Cambodia Securities Exchange

Author

Listed:
  • Siphat Lim

    (CamEd - CamEd Business School)

Abstract

A pair trading strategy of two shares works when there is a co-integration between the two equities. This paper uses the two-step Engle and Granger method to establish whether or not the two stock price series had a long-run relationship. Since the residual term predicted from the sample regression function between the dependent variable, PPSP, and the independent variable, PWSA, is stationary, as indicated by the ADF test, all listed stocks in CSX, a pair of equities, PPSP and PWSA, are co-integrated. During the research period, the price spread increased three times to two standard deviations. At any point, one unit of outperformance stock is short, and one unit of co-integrated ratio is long. Pair trading has an average investment return of 8.0264 percent, outperforming the weighted average return of 1.1651 percent. Keywords: Pair trading; CSX; Co-integration; ADF test

Suggested Citation

  • Siphat Lim, 2023. "Empirical Study of Pairs Trading in Cambodia Securities Exchange," Post-Print hal-04544277, HAL.
    • Handle: RePEc:hal:journl:hal-04544277
    DOI: 10.62458/jafess.160224.8(1)1-12
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-04544277. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.