The Profitability of Pairs Trading in an Emerging Market Setting: Evidence from the Istanbul Stock Exchange

Yüksel A., Yüksel S. A.

Empirical Economics Letters, cilt.8, ss.1-5, 2009 (Hakemli Dergi)

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 8
  • Basım Tarihi: 2009
  • Dergi Adı: Empirical Economics Letters
  • Sayfa Sayıları: ss.1-5
  • TED Üniversitesi Adresli: Evet

Özet

This study measures the performance of the pairs trading strategy in an emerging stock market setting, using the methodology of Gatev et al. (2006). Distance-based pairs trading methodology gives an average excess return of 5.4 % for the top 20 best pairs portfolios. Although statistically significant, these results for the self-financing portfolios lack economic significance considering transaction and short-selling costs.