Evaluating the Performance of a Statistical Arbitrage Strategy in the Egyptian Exchange
| المصدر: | المجلة العلمية للاقتصاد والتجارة |
|---|---|
| الناشر: | جامعة عين شمس - كلية التجارة |
| المؤلف الرئيسي: | Saad, Hisham Mohamed Abdelaziz (Author) |
| مؤلفين آخرين: | Mostafa, Mostafa Galal (Advisor) , Mowafy, Mamdouh Abdelalim (Advisor) |
| المجلد/العدد: | ع1 |
| محكمة: | نعم |
| الدولة: |
مصر |
| التاريخ الميلادي: |
2022
|
| الشهر: | أبريل |
| الصفحات: | 1335 - 1355 |
| ISSN: |
2636-2562 |
| رقم MD: | 1373703 |
| نوع المحتوى: | بحوث ومقالات |
| اللغة: | الإنجليزية |
| قواعد المعلومات: | EcoLink |
| مواضيع: | |
| كلمات المؤلف المفتاحية: |
Stocks | Arbitrage | Short Selling | Investing | Pairs Trading | Market Neutral | Egyptian Stock Market | EGX | Principal Component | Ward’s Clustering | Hierarchical Clustering
|
| رابط المحتوى: |
عدد مرات التحميل
1
| المستخلص: |
This paper applies and evaluates a statistical arbitrage strategy for identifying and trading pairs of stocks in the Egyptian exchange (EGX). The strategy is based on combining principal component analysis with hierarchical clustering using Ward’s method. In addition, different parameterizations for the trading threshold are examined. Daily closing prices of stocks eligible for short selling are used in the analysis. The research finds that the strategy delivers positive excess returns that are market neutral. The sub-period returns after disregarding the first quarter of 2020 are higher suggesting that the strategy was negatively affected by the turbulence caused in the Egyptian exchange attributed to Covid-19. The parameterization of the trading threshold affects the number of pairs traded and the returns generated. |
|---|---|
| ISSN: |
2636-2562 |
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