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.
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.
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|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:||01 Jun 2010 21:52|
|Last Modified:||05 Jan 2011 13:59|
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