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dc.contributor.authorBalladares, Karen
dc.contributor.authorRamos Requena, José Pedro
dc.contributor.authorTrinidad Segovia, Juan Evangelista
dc.contributor.authorSánchez Granero, Miguel Ángel
dc.date.accessioned2021-01-18T09:31:06Z
dc.date.available2021-01-18T09:31:06Z
dc.date.issued2021-01-18
dc.identifier.issn2227-7390
dc.identifier.urihttp://hdl.handle.net/10835/9307
dc.description.abstractIn this paper, we use a statistical arbitrage method in different developed and emerging countries to show that the profitability of the strategy is based on the degree of market efficiency. We will show that our strategy is more profitable in emerging ones and in periods with greater uncertainty. Our method consists of a Pairs Trading strategy based on the concept of mean reversion by selecting pair series that have the lower Hurst exponent. We also show that the pair selection with the lowest Hurst exponent has sense, and the lower the Hurst exponent of the pair series, the better the profitability that is obtained. The sample is composed by the 50 largest capitalized companies of 39 countries, and the performance of the strategy is analyzed during the period from 1 January 2000 to 10 April 2020. For a deeper analysis, this period is divided into three different subperiods and different portfolios are also considered.es_ES
dc.language.isoenes_ES
dc.publisherMDPIes_ES
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 Internacional*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectemerging marketses_ES
dc.subjectpairs tradinges_ES
dc.subjectHurst exponentes_ES
dc.subjectinancial marketses_ES
dc.subjectlong memoryes_ES
dc.subjectco-movementes_ES
dc.subjectefficiencyes_ES
dc.titleStatistical Arbitrage in Emerging Markets: A Global Test of Efficiencyes_ES
dc.typeinfo:eu-repo/semantics/articlees_ES
dc.relation.publisherversionhttps://www.mdpi.com/2227-7390/9/2/179es_ES
dc.rights.accessRightsinfo:eu-repo/semantics/openAccesses_ES


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Attribution-NonCommercial-NoDerivatives 4.0 Internacional
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivatives 4.0 Internacional