owing to its simple approach and ease of application. In this context, we develop a cointegration-based pairs trading …

Stock Exchange and the Shanghai Stock Exchange or Shenzhen Stock Exchange in mainland China. We estimate the coefficients of … the literature on price discovery that the Hong Kong and mainland China financial markets are informationally linked. We …

Partial cointegration is a weakening of cointegration that allows for the "cointegrating" process to contain a random … estimation routine, and a suitable likelihood ratio test. Then, we explore the use of partial cointegration as a means for … identifying promising pairs and for generating buy and sell signals. Specifically, we benchmark partial cointegration against …

&P 500. The analysis is performed with co-integration method on the 1-minute high-frequency data covering the period Jan 1 …