Examining long-run relationships of the BRICS stock market indices to identify opportunities for implementation of statistical arbitrage strategies

Examining long-run relationships of the BRICS stock market indices to identify opportunities for implementation of statistical arbitrage strategies

>Magister Scientiae - MSc === Purpose:This research investigates the existence of long-term equilibrium relationships among the stock market indices of Brazil, Russia, India, China and South Africa (BRICS). It further investigates cointegrated stock pairs for possible implementation of statistica...

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Bibliographic Details
Main Author: Meki, Brian
Other Authors: Kotze, Danelle
Language:en
Published: University of the Western Cape 2015
Subjects:
Cointegration
Statistical arbitrage
Pairs trading
Vector Error Correction Model (VECM)
Online Access:http://hdl.handle.net/11394/4348

Internet

http://hdl.handle.net/11394/4348

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