A Cointegration Approach to Pairs Trading in the Egyptian Exchange Using Fixed and Dynamic Trading Thresholds
| 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: | 1357 - 1372 |
| ISSN: |
2636-2562 |
| رقم MD: | 1373711 |
| نوع المحتوى: | بحوث ومقالات |
| اللغة: | الإنجليزية |
| قواعد المعلومات: | EcoLink |
| مواضيع: | |
| كلمات المؤلف المفتاحية: |
Pairs Trading | Algorithmic Trading | Arbitrage | Short Selling | Stocks | Mean Reversion | Johansen Cointegration | ARCH | GARCH | Dynamic Threshold | Egyptian Exchange | EGX
|
| رابط المحتوى: |
عدد مرات التحميل
1
| المستخلص: |
This paper uses a cointegration approach based on the Johansen test for constructing pairs of stocks to trade in the Egyptian Exchange (EGX). Daily closing prices for a sample of 24 stocks that are eligible for short selling as of December 2019 are used in the analysis. Trade signals for entering trading positions are generated using both fixed and dynamic trading thresholds. The fixed trading threshold is based on a standard deviation metric. The dynamic trading threshold is based on a GARCH model that is used to forecast the conditional standard deviation of the pairs spread recursively. Results show that pairs trading using the cointegration approach generates significant positive excess returns that are above the market index returns. The dynamic trading threshold reduces the returns but on the other hand reduces the overall risk and improves market neutrality of returns. |
|---|---|
| ISSN: |
2636-2562 |
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