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Round-the-clock market efficiency and home bias : evidence from the international Japanese government bonds futures markets

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The information flow and market efficiency between th US and Chinese aluminium and copper futures markets

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Single-stock futures : evidence from the Indian securities market

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Illuminating the profitability of pairs trading : a test of the relative pricing efficiency of markets for water utility stocks

Gutiérrez, José Angel; Tse, Yiuman - In: The journal of trading 6 (2011) 2, pp. 50-64

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Electronic versus open outcry trading in agricultural commodities futures markets

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Exchange traded funds, size-based portfolios, and market efficiency

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Do industries lead stock markets? A reexamination

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The FOMC announcement returns on long-term US and German bond futures

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Return seasonality in commodity futures

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Illuminating the Profitability of Pairs Trading : A Test of Relative Pricing Efficiency of Markets for Water Utility Stocks

Gutierrez, Jose A. - 2019

This paper examines the profitability of a pairs trading strategy derived solely from historic price dynamics and contrarian principles. We find that the profitability of the self-financing strategy hinges on a cointegrated relationship, which Engle and Granger (1987) show also implies an...

Persistent link: https://www.econbiz.de/10012905960