Since 2014
European Equity Pairs Trading: The Effect of Data Frequency on Risk and Return
Economic and Business Review
View Archive Info| Field | Value | |
| Title |
European Equity Pairs Trading: The Effect of Data Frequency on Risk and Return
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| Creator |
Lucey, Michael; Durham University Business School
Walshe, Don; University College Cork |
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| Description |
This article examines an equity pairs trading strategy using daily, weekly and monthly European share price data over the period 1998 – 2007. The authors show that when stocks are matched into pairs with minimum distance between normalised historical prices, a simple trading rule based on volatility between these prices yields annualised raw returns of up to 15% for the weekly data frequency. Bootstrap results suggest returns from the strategy are attributable to skill rather than luck, while insignificant beta coefficients provide evidence that this is a market neutral strategy. Resistance of the strategy’s returns to reversal factors suggest pairs trading is fundamentally different to previously documented reversal strategies based on concepts such as mean reversion.
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| Publisher |
SCHOLINK INC.
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| Contributor |
—
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| Date |
2013-09-25
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://www.scholink.org/ojs/index.php/jbtp/article/view/97
10.22158/jbtp.v1n2p329 |
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| Source |
Journal of Business Theory and Practice; Vol 1, No 2 (2013); p329
2329-2644 2372-9759 |
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| Language |
eng
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| Relation |
http://www.scholink.org/ojs/index.php/jbtp/article/view/97/122
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