The effectiveness of pairs trading strategy in light of market volatility
This paper show Pairs trading strategies are proved to be efficient for the European stock market between Jan 2010 to April 2021in light of different volatility regimes. An association with the strategies returns and volatility is established, and results show that increasing levels of volatility le...
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| Formato: | masterThesis |
| Idioma: | eng |
| Publicado em: |
2021
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| Texto completo: | http://hdl.handle.net/10362/133363 |
| País: | Portugal |
| Oai: | oai:run.unl.pt:10362/133363 |