This paper assesses the aspect of market neutrality for a pairs trading strategy built on cointegration. This was conducted by evaluating the strategy?s performance during a negative market environment, 2007-06-01 to 2008-12-30, and a positive market environment, 2013-05-31 to 2014-12-30, for the stocks listed in the OMXS30 index. The results indicate market neutrality and that profitability of pairs trading is higher in prolonged periods of turbulence.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:uu-254234 |
| Date | January 2015 |
| Creators | Loodh, Dennis, Carlsson, Daniel |
| 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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