Pairs trading profits in commodity futures markets
| Data(s) |
2009
|
|---|---|
| Resumo |
This study employs a pairs trading investment strategy on daily commodity futures returns. The study reveals that pairs trading in similarly related commodity futures earns statistically significant excess returns with commensurate volatility. The excess returns from pairs trading in commodity futures are unrelated to conventional market risk factors and they are not associated with classic contrarian investing. The evidence of pairs trading reflect compensation to arbitrageurs for enforcing the law of one price in similarly related market efficiency. |
| Formato |
application/pdf |
| Identificador | |
| Publicador |
University of Queensland |
| Relação |
http://eprints.qut.edu.au/32427/1/c32427.pdf http://www.business.uq.edu.au/display/AFA/AsianFA+2009 Bianchi, Robert, Drew, Michael, & Zhu, Roger (2009) Pairs trading profits in commodity futures markets. In Proceedings of Asian Finance Association 2009 International Conference, University of Queensland, Hilton Brisbane, Brisbane, Queensland, pp. 1-26. |
| Direitos |
Copyright 2009 [please consult the authors] |
| Fonte |
QUT Business School; School of Economics & Finance |
| Palavras-Chave | #140207 Financial Economics #Commodity futures #Law of one price #Arbitrage #Market efficiency |
| Tipo |
Conference Paper |
