Profitability of pairs trading strategy in an illiquid market with multiple share classes

Citations

Cited by:

1. Baoqiang Zhan & Shu Zhang & Helen S. Du & Xiaoguang Yang, 2022. "Exploring Statistical Arbitrage Opportunities Using Machine Learning Strategy," Computational Economics, Springer;Society for Computational Economics, vol. 60(3), pages 861-882, October.
2. Alessia Naccarato & Andrea Pierini & Giovanna Ferraro, 2021. "Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment," Annals of Operations Research, Springer, vol. 299(1), pages 81-99, April.
3. Andreas Mikkelsen & Frode Kj rland, 2018. "High-frequency Pairs Trading on a Small Stock Exchange," International Journal of Economics and Financial Issues, Econjournals, vol. 8(4), pages 78-88.
4. Nicolas Huck, 2013. "The high sensitivity of pairs trading returns," Applied Economics Letters, Taylor & Francis Journals, vol. 20(14), pages 1301-1304, September.
   • Nicolas Huck, 2013. "The high sensitivity of pairs trading returns," Post-Print hal-01514549, HAL.
5. Sovan Mitra & Andreas Karathanasopoulos, 2019. "Firm Value and the Impact of Operational Management," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(1), pages 61-85, March.
6. Hossein Rad & Rand Kwong Yew Low & Robert Faff, 2016. "The profitability of pairs trading strategies: distance, cointegration and copula methods," Quantitative Finance, Taylor & Francis Journals, vol. 16(10), pages 1541-1558, October.
7. Fabio Pizzutilo, 2013. "A Note on the Effectiveness of Pairs Trading For Individual Investors," International Journal of Economics and Financial Issues, Econjournals, vol. 3(3), pages 763-771.
8. Mar Grande & Florentino Borondo & Juan Carlos Losada & Javier Borondo, 2024. "Anti-Persistent Values of the Hurst Exponent Anticipate Mean Reversion in Pairs Trading: The Cryptocurrencies Market as a Case Study," Mathematics, MDPI, vol. 12(18), pages 1-14, September.
9. Sharjil Muktafi Haque & A. K. Enamul Haque, 2014. "Pairs Trading Strategy in Dhaka Stock Exchange: Implementation and Profitability Analysis," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 4(8), pages 1091-1105, August.
10. Isabel Figuerola‐Ferretti & Ioannis Paraskevopoulos & Tao Tang, 2018. "Pairs‐trading and spread persistence in the European stock market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(9), pages 998-1023, September.
11. Brett C. Olsen & Sanjay R. Sisodiya & Judith Swisher & Neil Fargher, 2016. "A note on assessing the relation between CEO characteristics and stock performance: Alpha Above Replacement," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 56(3), pages 787-802, September.
12. Hanxiong Zhang & Andrew Urquhart, 2020. "Do momentum and reversal strategies work in commodity futures? A comprehensive study," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 12(4), pages 375-409, April.
13. Laila Taskeen Qazi & Atta Ur Rahman & Saleem Gul, 2015. "Which Pairs of Stocks should we Trade? Selection of Pairs for Statistical Arbitrage and Pairs Trading in Karachi Stock Exchange," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 54(3), pages 215-244.
14. Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2017. "Searching for Inefficiencies in Exchange Rate Dynamics," Computational Economics, Springer;Society for Computational Economics, vol. 49(3), pages 405-432, March.
15. Nyberg, Peter & Vaihekoski, Mika, 2014. "Descriptive analysis of the Finnish stock market : Part II," Research Discussion Papers 10/2014, Bank of Finland.
16. Krauss, Christopher, 2015. "Statistical arbitrage pairs trading strategies: Review and outlook," FAU Discussion Papers in Economics 09/2015, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
17. Nyberg, Peter & Vaihekoski, Mika, 2014. "Descriptive analysis of the Finnish stock market: Part II," Bank of Finland Research Discussion Papers 10/2014, Bank of Finland.
18. João Frois Caldeira & Gulherme Valle Moura, 2013. "Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy," Brazilian Review of Finance, Brazilian Society of Finance, vol. 11(1), pages 49-80.
19. Bruno Breyer Caldas & João Frois Caldeira & Guilherme Vale Moura, 2016. "Is Pairs Trading Performance Sensitive To The Methodologies?: A Comparison," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting] 130, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
20. Lei, Yaoting & Xu, Jing, 2015. "Costly arbitrage through pairs trading," Journal of Economic Dynamics and Control, Elsevier, vol. 56(C), pages 1-19.
21. Geetu Aggarwal & Navdeep Aggarwal, 2021. "Risk-adjusted Returns from Statistical Arbitrage Opportunities in Indian Stock Futures Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(1), pages 79-99, March.
22. repec:zbw:bofrdp:2014_010 is not listed on IDEAS
23. Sabino da Silva, Fernando A.B. & Ziegelmann, Flavio A. & Caldeira, João F., 2023. "A pairs trading strategy based on mixed copulas," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 16-34.
24. Jia Miao & Jason Laws, 2016. "Profitability Of A Simple Pairs Trading Strategy: Recent Evidences From A Global Context," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-18, June.
25. Andreas Mikkelsen, 2018. "Pairs trading: the case of Norwegian seafood companies," Applied Economics, Taylor & Francis Journals, vol. 50(3), pages 303-318, January.
26. R. Todd Smith & Xun Xu, 2017. "A good pair: alternative pairs-trading strategies," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(1), pages 1-26, February.