Statistical Arbitrage in Emerging Markets: A Global Test of Efficiency

Statistical Arbitrage in Emerging Markets: A Global Test of Efficiency

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In this paper, we use a statistical arbitrage method in different developed and emerging countries to show that the profitability of the strategy is based on the degree of market efficiency. We will show that our strategy is more profitable in emerging ones and in periods with greater uncertainty. O...

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Bibliographic Details
Main Authors: Balladares Ponguillo, Karen Andrea, Ramos Requena, José Pedro, Trinidad Segovia, Juan Evangelista, Sánchez Granero, Miguel Ángel
Format: info:eu-repo/semantics/article
Language:English
Published: MDPI 2021
Subjects:
emerging markets
pairs trading
Hurst exponent
inancial markets
long memory
co-movement
efficiency
Online Access:http://hdl.handle.net/10835/9307

Internet

http://hdl.handle.net/10835/9307

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