Statistical Arbitrage in Emerging Markets: A Global Test of Efficiency
نویسندگان
چکیده
In this paper, we use a statistical arbitrage method in different developed and emerging countries to show that the profitability of strategy is based on degree market efficiency. We will our more profitable ones periods with greater uncertainty. Our consists Pairs Trading concept mean reversion by selecting pair series have lower Hurst exponent. also selection lowest exponent has sense, series, better obtained. The sample composed 50 largest capitalized companies 39 countries, performance analyzed during period from 1 January 2000 10 April 2020. For deeper analysis, divided into three subperiods portfolios are considered.
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ژورنال
عنوان ژورنال: Mathematics
سال: 2021
ISSN: ['2227-7390']
DOI: https://doi.org/10.3390/math9020179