عناصر مشابهة
Evaluating the Performance of a Statistical Arbitrage Strategy in the Egyptian Exchange
| المصدر: | المجلة العلمية للاقتصاد والتجارة |
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| الناشر: |
جامعة عين شمس - كلية التجارة
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| المؤلف الرئيسي: | |
| مؤلفين آخرين: | , |
| المجلد/العدد: | ع1 |
| محكمة: | نعم |
| الدولة: | مصر |
| التاريخ الميلادي: | 2022 |
| الصفحات: | 1335 - 1355 |
| ISSN: | 2636-2562 |
| رقم MD: | 1373703 |
| نوع المحتوى: | بحوث ومقالات |
| اللغة: | English |
| قواعد المعلومات: | EcoLink |
| مواضيع: | |
| رابط المحتوى: |
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| المستخلص: | This paper applies and evaluates a statistical arbitrage strategy for identifying and trading pairs of stocks in the Egyptian exchange (EGX). The strategy is based on combining principal component analysis with hierarchical clustering using Ward’s method. In addition, different parameterizations for the trading threshold are examined. Daily closing prices of stocks eligible for short selling are used in the analysis. The research finds that the strategy delivers positive excess returns that are market neutral. The sub-period returns after disregarding the first quarter of 2020 are higher suggesting that the strategy was negatively affected by the turbulence caused in the Egyptian exchange attributed to Covid-19. The parameterization of the trading threshold affects the number of pairs traded and the returns generated. |
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