TY  - GEN 
AU  - Balladares Ponguillo, Karen Andrea
AU  - Ramos Requena, José Pedro
AU  - Trinidad Segovia, Juan Evangelista
AU  - Sánchez Granero, Miguel Ángel
PY  - 2021
SN  - 2227-7390
UR  - http://hdl.handle.net/10835/9307
AB  - In 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...
LA  - en
PB  - MDPI
KW  - emerging markets
KW  - pairs trading
KW  - Hurst exponent
KW  - inancial markets
KW  - long memory
KW  - co-movement
KW  - efficiency
TI  - Statistical Arbitrage in Emerging Markets: A Global Test of Efficiency
ER  -