Statistical-arbitrage-based trading strategies in the Casablanca stock exchange : a first investigation
Dissertant
Thesis advisor
University
Al Akhawayn University
Faculty
The School of Business Administration
University Country
Morocco
Degree
Master
Degree Date
2016
English Abstract
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%.
Main Subjects
No. of Pages
44
Table of Contents
Table of contents.
Abstract.
Chapter One : Introduction.
Chapter Two : Literature review.
Chapter Three : Methodology.
Chapter Four : Strategy results.
Chapter Five : Results analysis and discussion.
Chapter Six : Conclusions and research implications.
Chapter Seven : Future research recommendations.
References.
American Psychological Association (APA)
al-Jayi, Yasini. (2016). Statistical-arbitrage-based trading strategies in the Casablanca stock exchange : a first investigation. (Master's theses Theses and Dissertations Master). Al Akhawayn University, Morocco
https://search.emarefa.net/detail/BIM-775179
Modern Language Association (MLA)
al-Jayi, Yasini. Statistical-arbitrage-based trading strategies in the Casablanca stock exchange : a first investigation. (Master's theses Theses and Dissertations Master). Al Akhawayn University. (2016).
https://search.emarefa.net/detail/BIM-775179
American Medical Association (AMA)
al-Jayi, Yasini. (2016). Statistical-arbitrage-based trading strategies in the Casablanca stock exchange : a first investigation. (Master's theses Theses and Dissertations Master). Al Akhawayn University, Morocco
https://search.emarefa.net/detail/BIM-775179
Language
English
Data Type
Arab Theses
Record ID
BIM-775179
