QUT ePrints

Pairs trading profits in commodity futures markets

Bianchi, Robert, Drew, Michael, & Zhu, Roger (2009) Pairs trading profits in commodity futures markets. In Proceedings of Asian Finance Association 2009 International Conference, University of Queensland, Hilton Brisbane, Brisbane, Queensland, pp. 1-26.

View at publisher

Abstract

This study employs a pairs trading investment strategy on daily commodity futures returns. The study reveals that pairs trading in similarly related commodity futures earns statistically significant excess returns with commensurate volatility. The excess returns from pairs trading in commodity futures are unrelated to conventional market risk factors and they are not associated with classic contrarian investing. The evidence of pairs trading reflect compensation to arbitrageurs for enforcing the law of one price in similarly related market efficiency.

Impact and interest:

Citation countsare sourced monthly from Scopus and Web of Science® citation databases.

These databases contain citations from different subsets of available publications and different time periods and thus the citation count from each is usually different. Some works are not in either database and no count is displayed. Scopus includes citations from articles published in 1996 onwards, and Web of Science® generally from 1980 onwards.

Citations counts from the Google Scholar™ indexing service can be viewed at the linked Google Scholar™ search.

Full-text downloads:

527 since deposited on 01 Jun 2010
124 in the past twelve months

Full-text downloadsdisplays the total number of times this work’s files (e.g., a PDF) have been downloaded from QUT ePrints as well as the number of downloads in the previous 365 days. The count includes downloads for all files if a work has more than one.

ID Code: 32427
Item Type: Conference Paper
Keywords: Commodity futures, Law of one price, Arbitrage, Market efficiency
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200) > Financial Economics (140207)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
Copyright Owner: Copyright 2009 [please consult the authors]
Deposited On: 02 Jun 2010 07:52
Last Modified: 05 Jan 2011 23:59

Export: EndNote | Dublin Core | BibTeX

Repository Staff Only: item control page