Evaluation of the performance of a pairs trading strategy of JSE listed firms

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dc.contributor.author Naicker, Shreelin
dc.date.accessioned 2016-12-05T11:12:07Z
dc.date.available 2016-12-05T11:12:07Z
dc.date.issued 2016
dc.identifier.citation Naicker, Shereen (2016) Evaluation of the performance of a pairs trading strategy of JSE listed firms, University of the Witwatersrand, <http://wiredspace.wits.ac.za/handle/10539/21506>
dc.identifier.uri http://hdl.handle.net/10539/21506
dc.description A research report submitted to the Faculty of Commerce, Law and Management, University of the Witwatersrand, in partial fulfilment of the requirements for the degree of Master of Finance and investment. Johannesburg, 2015 en_ZA
dc.description.abstract A pairs trading strategy is a market neutral trading strategy that tries to make a profit by making use of inefficiencies in financial markets. In the equity pairs trading context, a market neutral strategy, is a strategy that hedges against both market and sector risk. According to the efficient market theory in its weak form, a pairs trading strategy should not produce positive returns since the actual stock price is reflected in its past trading data. The main objective of this paper is to examine the performance and risk of an equity pairs trading strategy in an emerging market context using daily, weekly and monthly prices on the Johannesburg Securities Exchange over the period 1994 to 2014. A bootstrap method is used determine whether returns from the strategy can be attributed to skill rather than luck. en_ZA
dc.format.extent Online resource (vii, 50 leaves)
dc.language.iso en en_ZA
dc.subject.lcsh Johannesburg Stock Exchange
dc.subject.lcsh Stocks--Prices--South Africa
dc.title Evaluation of the performance of a pairs trading strategy of JSE listed firms en_ZA
dc.type Thesis en_ZA
dc.description.librarian MT2016 en_ZA


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