Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.11851/8588
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dc.contributor.authorTokat, Ekin-
dc.contributor.authorHayrullahoğlu A.C.-
dc.date.accessioned2022-07-30T16:41:50Z-
dc.date.available2022-07-30T16:41:50Z-
dc.date.issued2022-
dc.identifier.citationTokat, E., & Hayrullahoğlu, A. C. (2021). Pairs trading: is it applicable to exchange-traded funds?. Borsa Istanbul Review.en_US
dc.identifier.issn22148450-
dc.identifier.urihttps://doi.org/10.1016/j.bir.2021.08.001-
dc.identifier.urihttps://hdl.handle.net/20.500.11851/8588-
dc.description.abstractAmong the various statistical trading strategies, pairs trading has been widely employed as a market neutral strategy owing to its simple approach and ease of application. In this context, we develop a cointegration-based pairs trading framework with a set of pre-conditions for pair eligibility and apply it to different asset classes. The performance analysis of a portfolio of 45 pairs is considered for the period of January 2007 to January 2021, which covers the period of a full market cycle of adjacent bull and bear periods; it is studied and benchmarked against the S&P500 index, which is considered as a proxy for the general market. We find an average annual return of 15% with an average Sharpe ratio of 1.43 after considering the transaction costs; we observe that this performance does not vary significantly with a change in the transaction cost levels and does not pass below the risk-free return levels with changing market conditions. Further, the strategy is observed to perform better during bear market conditions. Considering the highly liquid trading environment of the strategy, our findings raise a call for a discussion on the semi-strong form market efficiency. © 2021 The Authorsen_US
dc.description.sponsorshipTürkiye Bilimsel ve Teknolojik Araştirma Kurumu, TÜBITAKen_US
dc.description.sponsorshipThis work was supported by the Scientific and Technological Research Council of Turkey (TÜBİTAK) .en_US
dc.language.isoenen_US
dc.publisherBorsa Istanbul Anonim Sirketien_US
dc.relation.ispartofBorsa Istanbul Reviewen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectCointegrationen_US
dc.subjectExchange traded fund marketen_US
dc.subjectPairs tradingen_US
dc.subjectQuantitative strategiesen_US
dc.titlePairs Trading: Is It Applicable To Exchange-Traded Funds?en_US
dc.typeArticleen_US
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümüen_US
dc.departmentFaculties, Faculty of Economics and Administrative Sciences, Department of Managementen_US
dc.identifier.wosWOS:000843541500010en_US
dc.identifier.scopus2-s2.0-85122055312en_US
dc.institutionauthorTokat, Ekin-
dc.identifier.doi10.1016/j.bir.2021.08.001-
dc.authorscopusid24774103500-
dc.authorscopusid57417936200-
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.identifier.scopusqualityQ2-
item.openairetypeArticle-
item.languageiso639-1en-
item.grantfulltextnone-
item.fulltextNo Fulltext-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.cerifentitytypePublications-
crisitem.author.dept04.03. Department of Management-
Appears in Collections:İşletme Bölümü / Department of Management
Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection
WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection
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