• Corpus ID: 168114570

Pairs-Trading in the Asian ADR Market

@inproceedings{Hong2004PairsTradingIT,
  title={Pairs-Trading in the Asian ADR Market},
  author={Gwangheon Hong and Raul Susmel},
  year={2004}
}
In this paper, we study pairs-trading strategies for 64 Asian shares listed in their local markets and listed in the U.S. as ADRs. Given that all pairs are cointegrated, they are logical choice for pairs-trading. We find that pairs-trading in this market delivers significant profits. The results are robust to different profit measures and different holding periods. For example, for a conservative investor willing to wait for a one-year period, before closing the portfolio pairs-trading… 

Tables from this paper

Pairs trading in the UK equity market: risk and return

In this paper, we provide the first comprehensive UK evidence on the profitability of the pairs trading strategy. Evidence suggests that the strategy performs well in crisis periods, so we control

Pairs trading on the Johannesburg Stock Exchange

ABSTRACT Pairs trading strategies aim to profit from temporary deviations in some underlying relationship between the prices of two stocks. The trader takes appropriate long and short positions in

Pairs Trading with Turkish Stocks

Recent evidence from US stock markets shows that pairs trading strategy earns positive abnormal profits. The profitable implementation of this strategy requires the existence of strong arbitrage

Detecting Pairs Trading ( or any Related Trading ) in Two Financial Securities

Market-neutral strategies such as pairs trading and merger arbitrage have become increasingly important over the past few decades, yet the literature on them is relatively undeveloped. There are

Finding the Optimal Pre-set Boundaries for Pairs Trading Strategy Based on Cointegration Technique

Pairs trading is one of the arbitrage strategies that can be used in trading stocks on the stock market. This paper incorporates pairs trading with the use of cointegration technique to exploit

Algorithmic pairs trading: empirical investigation of exchange traded funds

The empirical results of this thesis show that pairs trading with ETFs generate significant abnormal return with low volatility from the eight year trading period compared to the benchmark index as well as stocks traded with pairs trading strategy.

Some Quantitative Issues in Pairs Trading

In this study, Pairs Trading (PT) is considered. An example of its application using real data is shown and a time series simulation of the Saudi stock market using the Vector Auto-Regressive model

Pairs trading using cointegration approach

Pairs trading strategy works by taking the arbitrage opportunity of temporary anomalies between prices of related assets which have long-run equilibrium. When such an event occurs, one asset will be

Statistical Arbitrage Pairs Trading Strategies: Review and Outlook

This survey reviews the growing literature on pairs trading frameworks, i.e., relative-value arbitrage strategies involving two or more securities. The available research is categorized into five

Statistical arbitrage and FX exposure with South American ADRs listed on the NYSE

The main achievement is to show that isolating FX exposure from ADR strategies that were presented as profitable to unprofitable and abnormal returns are just due to an appreciation in the home currencies versus the USD.

References

SHOWING 1-10 OF 10 REFERENCES

Pairs Trading: Performance of a Relative Value Arbitrage Rule

We test a Wall Street investment strategy known as "pairs trading" with daily data over the period 1962 through 1997. Stocks are matched into pairs according to minimum distance in historical

Multi-Market Trading and Arbitrage

Returns on Adrs and Arbitrage in Emerging Markets

In this paper we compare the distributions of ADR returns and the returns of the locally traded shares between Chile and Argentina. This comparison is interesting because both countries are emerging

Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

This paper documents that strategies that buy stocks that have performed well in the past and sell stocks that hav e performed poorly in the past generate significant positive returns o ver three- to

Does the Stock Market Overreact

Research in experimental psychology suggests that, in violation of Bayes' rule, most people tend to "overreact" to unexpected and dramatic news events. This study of market efficiency investigates

Evidence of Predictable Behavior of Security Returns

This paper presents new empirical evidence of predictability of individual stock returns. The negative first-order serial correlation in monthly stock returns is highly significant. Furthermore,

Efficiency and the Bear: Short Sales and Markets around the World

  • 2003

Residual risk revisited

  • 1990