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

Li, Fengji

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
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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.)