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Does Pairs trading work on the Johannesburg Stock Exchange?
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 ma...
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| Format: | Thesis |
| Language: | English |
| Published: |
GSB: Faculty
2016
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| _version_ | 1867613219871260672 |
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| access_status_str | Open Access |
| author | Appelbaum, Matthew |
| author_browse | Appelbaum, Matthew |
| author_facet | Appelbaum, Matthew |
| author_sort | Appelbaum, Matthew |
| collection | Thesis |
| description | 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. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/20026 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:39.476Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2016 |
| publishDateRange | 2016 |
| publishDateSort | 2016 |
| publisher | GSB: Faculty |
| publisherStr | GSB: Faculty |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/20026 Does Pairs trading work on the Johannesburg Stock Exchange? Appelbaum, Matthew Financial and Risk Management 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. 2016-06-17T06:27:55Z 2016-06-17T06:27:55Z 2015 Master Thesis Masters MCom http://hdl.handle.net/11427/20026 eng application/pdf GSB: Faculty Unknown University of Cape Town |
| spellingShingle | Financial and Risk Management Appelbaum, Matthew Does Pairs trading work on the Johannesburg Stock Exchange? |
| thesis_degree_str | Master's |
| title | Does Pairs trading work on the Johannesburg Stock Exchange? |
| title_full | Does Pairs trading work on the Johannesburg Stock Exchange? |
| title_fullStr | Does Pairs trading work on the Johannesburg Stock Exchange? |
| title_full_unstemmed | Does Pairs trading work on the Johannesburg Stock Exchange? |
| title_short | Does Pairs trading work on the Johannesburg Stock Exchange? |
| title_sort | does pairs trading work on the johannesburg stock exchange |
| topic | Financial and Risk Management |
| url | http://hdl.handle.net/11427/20026 |
| work_keys_str_mv | AT appelbaummatthew doespairstradingworkonthejohannesburgstockexchange |