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Economic Management Journal December 2013, Volume 2, Issue 5,
PP.183-188
The Influence between the Time Parameters and
the Return of Pairs Trading Chao Shao, Hong Fan
#
Glorious Sun School of Business and Management, Donghua
University, Shanghai 200051, P.R. China
#Email: [email protected]
Abstract
The historical data of A-share market during 2010 to 2013 has
been examined by means of the classical pairs trading strategy
in
this paper. Based on the setting of fundamental parameters, it
was found that the return of pairs trading is statistically
significant,
and that through the adjustment on time parameter, the return of
pairs trading depends on the formation and trading period,
leading
to the finding that higher return results from shorter
formation.
Keywords: Pairs Trading; Time Parameters; Arbitrage Strategy
*
200051
A 2010 2013
20 80 Morgan Stanley
Nunzio Tartaglia
GatevGoetzmann Rouwenhorst2006[1]
GGR 1999
2
Vidyamurthy2004[2]Elliott et al2005[3]
Huck2010[4]
Jurek Yang2007[5]Mudchanatongsuk et al2008[6]
* 7097102171371046 12ZS055
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Bertram20092010[7-8] GGRDo Faff2010[9] 2000
GGR Do Faff
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et al2013[11]
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1 1983-
2011
Email: [email protected]
2 1971-
Email: [email protected]
