Evaluation of the pairs-trading strategy on the Toronto Stock Exchange : 2001-2010

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dc.contributor.advisor Dodds, J. C. (James Colin)
dc.creator Li, Fengji
dc.date.accessioned 2013-05-13T15:03:18Z
dc.date.available 2013-05-13T15:03:18Z
dc.date.issued 2013
dc.identifier.uri http://library2.smu.ca/xmlui/handle/01/24939
dc.description 1 online resource (30 p.) : col. ill.
dc.description Includes abstract.
dc.description Includes bibliographical references (p. 29-30).
dc.description.abstract This paper focuses on evaluating the return characteristics of pairs-trading strategy on the Toronto Stock Exchange. Through analysis of trading results, we found a significant evidence to indicate that pairs trading strategy is consistent in achieving profitability on Toronto Stock Exchange. Moreover, profitability has a decreasing trend during the sample period of 2001 to 2010 and it is largely distorted by the global financial crisis from 2007-2009. en_CA
dc.language.iso en en_CA
dc.publisher Halifax, N.S. : Saint Mary's University
dc.title Evaluation of the pairs-trading strategy on the Toronto Stock Exchange : 2001-2010 en_CA
dc.type Text en_CA
thesis.degree.name Master of Finance
thesis.degree.level Masters
thesis.degree.discipline Finance, Information Systems, & Management Science
thesis.degree.grantor Saint Mary's University (Halifax, N.S.)


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