| Autor: |
Alrabadi, Dima Waleed Hanna |
| Zdroj: |
Afro-Asian Journal of Finance and Accounting; 2017, Vol. 7 Issue: 3 p242-254, 13p |
| Abstrakt: |
This study investigates the profitability of pairs trading strategy in Amman Stock Exchange (ASE) using daily data over the period (2009-2013). Specifically, five pairs of stocks are selected based on three criteria; simple correlation analysis, the closeness measure of Gatev et al. (2006) and cointegration analysis. The results indicate that the pairs trading strategy achieves an annual rate of return of 22.5%, which is fully explained by both the capital asset pricing model and the Fama and French (1993) three-factor model. These findings are vital to investors, speculators and academicians. |
| Databáze: |
Supplemental Index |
| Externí odkaz: |
|
