Does Pairs trading work on the Johannesburg Stock Exchange?

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dc.contributor.authorAppelbaum, Matthewen_ZA
dc.date.accessioned2016-06-17T06:27:55Z
dc.date.available2016-06-17T06:27:55Z
dc.date.issued2015en_ZA
dc.description.abstractIn this study it was examined whether Pairs trading is a potentially profitable trading strategy on the Johannesburg Stock Exchange. Pairs trading is a quantitative based trading strategy, in which shares are paired up based on a historic price relationship and traded accordingly, in a contrarian manner, when they diverge from said historical relationship. The essence of Pairs trading is to take advantage of perceived market inefficiencies, which is a direct contradiction of the Efficient Markets Hypothesis (even in its weak form). This study tested Pairs trading on both an unrestricted (any two shares can be paired), as well as a sector-restricted (only pairs within the RESI and the FINDI sectors could be paired), sample of shares (the JSE Top80 - based on market capitalization). Furthermore, a number of different signals (which are based on standard deviations) to open and close pairs were tested, on both the unrestricted and sector-restricted samples. The aim of using different samples of shares, as well as different trading signals, was to determine whether or not different strategies could serve to bolster the performance of a Pairs trading strategy.en_ZA
dc.identifier.apacitationAppelbaum, M. (2015). <i>Does Pairs trading work on the Johannesburg Stock Exchange?</i>. (Thesis). University of Cape Town ,Unknown ,GSB: Faculty. Retrieved from http://hdl.handle.net/11427/20026en_ZA
dc.identifier.chicagocitationAppelbaum, Matthew. <i>"Does Pairs trading work on the Johannesburg Stock Exchange?."</i> Thesis., University of Cape Town ,Unknown ,GSB: Faculty, 2015. http://hdl.handle.net/11427/20026en_ZA
dc.identifier.citationAppelbaum, M. 2015. Does Pairs trading work on the Johannesburg Stock Exchange?. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Appelbaum, Matthew AB - In this study it was examined whether Pairs trading is a potentially profitable trading strategy on the Johannesburg Stock Exchange. Pairs trading is a quantitative based trading strategy, in which shares are paired up based on a historic price relationship and traded accordingly, in a contrarian manner, when they diverge from said historical relationship. The essence of Pairs trading is to take advantage of perceived market inefficiencies, which is a direct contradiction of the Efficient Markets Hypothesis (even in its weak form). This study tested Pairs trading on both an unrestricted (any two shares can be paired), as well as a sector-restricted (only pairs within the RESI and the FINDI sectors could be paired), sample of shares (the JSE Top80 - based on market capitalization). Furthermore, a number of different signals (which are based on standard deviations) to open and close pairs were tested, on both the unrestricted and sector-restricted samples. The aim of using different samples of shares, as well as different trading signals, was to determine whether or not different strategies could serve to bolster the performance of a Pairs trading strategy. DA - 2015 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2015 T1 - Does Pairs trading work on the Johannesburg Stock Exchange? TI - Does Pairs trading work on the Johannesburg Stock Exchange? UR - http://hdl.handle.net/11427/20026 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/20026
dc.identifier.vancouvercitationAppelbaum M. Does Pairs trading work on the Johannesburg Stock Exchange?. [Thesis]. University of Cape Town ,Unknown ,GSB: Faculty, 2015 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/20026en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentGSB: Facultyen_ZA
dc.publisher.facultyUnknownen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherFinancial and Risk Managementen_ZA
dc.titleDoes Pairs trading work on the Johannesburg Stock Exchange?en_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMComen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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