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