期刊名称：International Research Journal of Finance and Economics
印刷版ISSN：1450-2887
电子版ISSN：1450-2887
出版年度：2017
期号：161
页码：129-143
出版社：European Journals Inc.
摘要：We perform an extensive empirical analysis of performance of pairs trading, a popular relative-value arbitrage strategy, based on four different selection methods—the Minimum Distance, Augmented Dickey Fuller Test and Granger Causality test, Linear Regression, and Correlated Remaining methods—across different asset classes including the Tehran Stock Exchange (TSE) shares, and components of S&P500 as well as commodities from February 2013 to May 2015. Results of the empirical test of four methods demonstrate that using different asset classes yields an excess return more than market. In addition, Minimum Distance can be considered the best method for application of the pairs trading strategy with an average annualized excess return of about 22%.
