Swedish Equities: Casanovas or commited Cointegrated partners
Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
This thesis investigates the long-run stability of Cointegrated
pairs in the Swedish Equity Market. Stability is evaluated by
estimating pairs in an in-sample period then rolling the win-
dow forward. A Pairs Trading strategy is then applied to the
estimated pairs and traded out-of-sample. The relationships
are found to diminish over time and most break o. Negative
compound annual growth rates are obtained for the period.
However there are enough lasting cointegrating relationships
for the strategy to be applicable but the returns are highly
dependent on the complexity of the trading rules.
Place, publisher, year, edition, pages
2016. , 34 p.
Cointegration, Stability, Mean Reversion, Pairs Trading
Probability Theory and Statistics
IdentifiersURN: urn:nbn:se:uu:diva-295814OAI: oai:DiVA.org:uu-295814DiVA: diva2:935007
Subject / course
Bachelor Programme in Business and Economics