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… Expand

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