By Ioannis Psaradellis, Ph.D., University of St Andrews, U.K.; Jason Laws, Ph.D., University of Liverpool, U.K.; Athanasios Pantelous, Ph.D., Monash University, Australia; and Georgios Sermpinis, Ph.D., University of Glasgow, U.K.
As summarized by Ana-Maria Fuertes, Ph.D., Professor in Finance and Econometrics, Cass Business School, City, University of London, U.K. and Member of the GCARD’s Editorial Advisory Board
This article examines the performance of technical rules applied to the pairs-trading strategy using daily data from 1990 to 2016. The main finding is that while the performance of pairs-trading based on technical analysis exhibits a downward trend over the sample period, the opportunity for significant pairs-trading excess profitability remains.
Read Article