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Pairs trading: En studie på den svenska aktiemarkanden, 1995-2004
Jönköping University, Jönköping International Business School.
2005 (Swedish)Independent thesis Advanced level (degree of Magister), 10 points / 15 hpStudent thesis
Abstract [en]

Pairs trading is a relatively new trading strategy, the strategy has only been used during a couple of decades. A study made on the American stock market has shown that the strat-egy has generated a positive result. The purpose of this thesis is to investigate if pairs trad-ing has been able to create a positive result on the Swedish stock market during the time period of 1995-2004.

The data required for this thesis was collected from Stockholm stock exchange and is ad-justed for splits and issues.

The pairs trading strategy involves two stages – identification of pairs and trading signals. The pairs were identified during a period of 12 months. During this period a return index was constructed and a correlation matrix was calculated for each period. Out of this corre-lation matrix were then ten pairs with the highest correlation selected. These pairs were then used in the next six-month trading period.

The study show that the strategy generated a positive result for the time period examined 1995-2004. More than 60 percent of all positions had a positive development and contrib-uted to a positive result. The other positions had a negative development.

Abstract [sv]

Pairs trading är en relativt ny handelstrategi som endast har använts under ett par årtionden. En studie gjord på den amerikanska aktiemarknaden har visat att strategin har genererat ett positivt resultat. Syftet med denna uppsats är att undersöka om pairs trading kunnat skapa ett positivt resultat på den svenska aktiemarknaden under tidsperioden 1995-2004.

För att kunna genomföra studien, har daglig aktiedata inhämtats från Stockholms fondbörs. Datan som används är justerad för splittar och emissioner.

Pairs trading strategin involverar två steg – identifiera aktiepar och handelssignaler. Aktieparen identifierades under en tolv månaders period. Då konstruerades ett avkastningsindex och en korrelationsmatris beräknades för varje period. Ur denna korrelationsmatris valdes sedan de tio aktiepar som hade högst korrelation. Dessa aktiepar användes sedan under nästföljande handelsperiod som pågick under sex månader.

För den undersökta perioden, 1995-2004, uppvisade studien att pairs trading strategin har genererat ett positivt resultat. Mer än 60 procent av alla positioner har haft en positiv utveckling och bidragit till det positiva resultatet. Övriga positioner har haft en negativ utveckling.

Place, publisher, year, edition, pages
2005. , 26 p.
Keyword [en]
Pairs trading, strategy
Keyword [sv]
Pairs trading, strategi
National Category
Economics
Identifiers
URN: urn:nbn:se:hj:diva-323OAI: oai:DiVA.org:hj-323DiVA: diva2:4033
Uppsok
samhälle/juridik
Available from: 2006-02-24 Created: 2006-02-24

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CiteExportLink to record
Permanent link

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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
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  • asciidoc
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