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.description.provenance |
Submitted by Trish Grelot (trish.grelot@smu.ca) on 2013-05-13T15:03:18Z
No. of bitstreams: 1
li_fengji_mrp_2013.pdf: 524134 bytes, checksum: b00e6eecc8eb872d3b0da82b064d731a (MD5) |
en |
dc.description.provenance |
Made available in DSpace on 2013-05-13T15:03:18Z (GMT). No. of bitstreams: 1
li_fengji_mrp_2013.pdf: 524134 bytes, checksum: b00e6eecc8eb872d3b0da82b064d731a (MD5) |
en |
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.) |
|