Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

Pairs trading on the Johannesburg Stock Exchange

Pairs trading on the Johannesburg Stock Exchange Pairs trading strategies aim to profit from temporary deviations in some underlying relationship between the prices of two stocks. The trader takes appropriate long and short positions in the two stocks and waits for their prices to revert back to the underlying relationship or even to deviate in the opposite direction from the current deviation, at which time the trader may exit at a profit. We formulate formal trading rules that implement pairs trading strategies and discuss their profitability and risk by means of back-testing on stocks listed on the Johannesburg Stock Exchange (JSE). http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Investment Analysts Journal Taylor & Francis

Pairs trading on the Johannesburg Stock Exchange

Mashele, HP; Terblanche, SE; Venter, JH
Investment Analysts Journal , Volume 42 (78): 14 – Jan 1, 2013
Download PDF
14 pages

Loading next page...
 
/lp/taylor-francis/pairs-trading-on-the-johannesburg-stock-exchange-0jgpmrHTM3

References

References for this paper are not available at this time. We will be adding them shortly, thank you for your patience.

Publisher
Taylor & Francis
Copyright
© 2013 Taylor and Francis Group, LLC
ISSN
2077-0227
eISSN
1029-3523
DOI
10.1080/10293523.2013.11082559
Publisher site
See Article on Publisher Site

Abstract

Pairs trading strategies aim to profit from temporary deviations in some underlying relationship between the prices of two stocks. The trader takes appropriate long and short positions in the two stocks and waits for their prices to revert back to the underlying relationship or even to deviate in the opposite direction from the current deviation, at which time the trader may exit at a profit. We formulate formal trading rules that implement pairs trading strategies and discuss their profitability and risk by means of back-testing on stocks listed on the Johannesburg Stock Exchange (JSE).

Journal

Investment Analysts Journal – Taylor & Francis

Published: Jan 1, 2013

References

  • Understanding the profitability of pairs trading
  • Dynamic pairs trading for companies listed in the Istanbul stock exchange
  • Profitability of pairs trading strategy in Finland
  • Does simple pairs trading still work?
  • Are pairs trading profits robust to trading costs?
  • A new approach to modelling and estimation for pairs trading
  • Pairs trading
  • An anatomy of pairs trading: The role of idiosyncratic news, common information and liquidity
  • Pairs trading: Performance of a relative-value arbitrage rule
  • Pairs-trading in the Asian ADR Market
  • Loss protection in pairs trading through minimum profit bounds: A cointegration approach
  • Optimal pairs trading: A stochastic control approach
  • Analysis of financial time series
  • Pairs trading, quantitative methods and analysis