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Statistical Arbitrage Test in Tehran Stock Exchange
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Aziz Ahmadzadeh *   , Kazem Yavari |
| TMU , ahmadzadeh80@yahoo.com |
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Abstract: (6994 Views) |
| Statistical Arbitrage is one of the prevalent methods of profit making by professional investors that has came to literature of financial economics in last decades. This paper describes the concept and instances of statistical arbitrage and tests its applicability in Iran's capital market. On this basis, the concept of statistical arbitrage is presented at first and then, after a review of previous internal studies, statistical arbitrage test methodology and empirical study based on daily observations of Tehran Stock Exchange from 1380 to 1391 is presented. Our results show that all tested momentum trading strategies provide statistical arbitrage conditions and, therefore, all of them are examples of statistical arbitrage. Thus, we can conclude that statistical arbitrage is a good strategy for profit making in Iranian capital market and reciprocally, profit making availability by this strategy shows that Iranian capital market is inefficient. |
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| Keywords: Statistical Arbitrage Tehran Stock Exchange (TSE), Trading Strategy, Market Efficiency |
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Full-Text [PDF 484 kb]
(4128 Downloads)
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Type of Study: Research |
Subject:
Special
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