Pairs Trading: uma análise através do vetor de cointegração / Pairs Trading: a co-integration vector approach

AUTOR(ES)
DATA DE PUBLICAÇÃO

2009

RESUMO

In this study we verified the effectiveness of pairs trading strategy by the cointegration vector analysis. First, the co-integrated pairs of Bovespa index stocks were selected by using the Johansens test. From these selected pairs, we did long and short positions respecting some trading rules. Among the analyzed pairs, we tested and evaluated the 72 pairs with better results through robust performance tests and Hansens Superior Predictive Ability test (2005). In the end, two pairs statistically significant (p-value <5%) with positive returns were highlighted, one of them (CGAS5 versus ELET3) reaching 28.78% annualized excess returns with pvalue <1%. Based on the results, it was possible to confirm the effectiveness of pairs trading strategy for the Brazilian equity market

ASSUNTO(S)

superior predictive ability pairs trading superior predictive ability co-integração co-integration pairs trading economia

ACESSO AO ARTIGO

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