Statistical-arbitrage-based trading strategies in the Casablanca stock exchange : a first investigation

مقدم أطروحة جامعية

al-Jayi, Yasini

مشرف أطروحة جامعية

Alawi, Abd al-Hamid Hamidi

الجامعة

جامعة الأخوين

الكلية

كلية إدارة الأعمال

دولة الجامعة

المغرب

الدرجة العلمية

ماجستير

تاريخ الدرجة العلمية

2016

الملخص الإنجليزي

Pairs trading strategy represents a major statistical arbitrage strategy that was unveiled in the mid-eighties in Wall Street.

Although the strategy is based on simple reasoning, it led to significant risk-adjusted abnormal returns.

The strategy consists of identifying two stocks that historically move together; then, use a proprietary analysis to identify their divergence to trigger a trading signal.

Assuming that the pairs’ relationship will hold in the future, trade is made through going short on the undervalued stock and long on the overvalued one.

Once the stocks return to their historical relationship, the positions are closed.

This research investigates this strategy returns in Casablanca Stock Exchange, based on the distance approach proposed in Gatev, Goetzmann, and Rouwenhorst (1999) study.

This research uses daily closing prices from January 4th 2008 to October 30th 2015, using a sliding window approach.

Empirical results exhibit mean negative returns of at most -25%.

التخصصات الرئيسية

إدارة الأعمال

عدد الصفحات

44

قائمة المحتويات

• APA
• MLA
• AMA

لغة النص

الإنجليزية

نوع البيانات

رسائل جامعية

رقم السجل

BIM-775179