This thesis investigates the long-run stability of Cointegrated pairs in the Swedish Equity Market. Stability is evaluated by estimating pairs in an in-sample period then rolling the win- dow forward. A Pairs Trading strategy is then applied to the estimated pairs and traded out-of-sample. The relationships are found to diminish over time and most break o. Negative compound annual growth rates are obtained for the period. However there are enough lasting cointegrating relationships for the strategy to be applicable but the returns are highly dependent on the complexity of the trading rules.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:uu-295814 |
| Date | January 2016 |
| Creators | Fors, Alexander, Markiewicz, Ossian |
| Publisher | Uppsala universitet, Statistiska institutionen, Uppsala universitet, Statistiska institutionen |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
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