STATISTICAL ARBITRAGE TEST IN TEHRAN STOCK EXCHANGE

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AHMADZADEH AZIZ; YAVARI KAZEM; SALEHABADI ALI; ESAEI TAFRESHI MOHAMMAD

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Paper Information

Journal: Journal of Economic Research and Policies Year:2014 | Volume:22 | Issue:70 Page(s): 247-268

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Title

STATISTICAL ARBITRAGE TEST IN TEHRAN STOCK EXCHANGE

Author(s)

AHMADZADEH AZIZ | YAVARI KAZEM | SALEHABADI ALI | ESAEI TAFRESHI MOHAMMAD | Issue Writer Certificate

Keywords

STATISTICAL ARBITRAGE TEHRAN STOCK EXCHANGE (TSE)Q2

TRADING STRATEGYQ2

MARKET EFFICIENCYQ2

Abstract

Statistical Arbitrage is one of the prevalent methods of profit making by professional investors that has came to literature of financial economics in last decades. This paper describes the concept and instances of statistical arbitrage and tests its applicability in Iran's capital market. On this basis, the concept of statistical arbitrage is presented at first and then, after a review of previous internal studies, statistical arbitrage test methodology and empirical study based on daily observations of Tehran Stock Exchange from 1380 to 1391 is presented. Our results show that all tested momentum trading strategies provide statistical arbitrage conditions and, therefore, all of them are examples of statistical arbitrage. Thus, we can conclude that statistical arbitrage is a good strategy for profit making in Iranian capital market and reciprocally, profit making availability by this strategy shows that Iranian capital market is inefficient.

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APA: Copy

AHMADZADEH, AZIZ, YAVARI, KAZEM, SALEHABADI, ALI, & ESAEI TAFRESHI, MOHAMMAD. (2014). STATISTICAL ARBITRAGE TEST IN TEHRAN STOCK EXCHANGE. JOURNAL OF ECONOMIC RESEARCH AND POLICIES, 22(70), 247-268. SID. https://sid.ir/paper/89535/en

Vancouver: Copy

AHMADZADEH AZIZ, YAVARI KAZEM, SALEHABADI ALI, ESAEI TAFRESHI MOHAMMAD. STATISTICAL ARBITRAGE TEST IN TEHRAN STOCK EXCHANGE. JOURNAL OF ECONOMIC RESEARCH AND POLICIES[Internet]. 2014;22(70):247-268. Available from: https://sid.ir/paper/89535/en

IEEE: Copy

AZIZ AHMADZADEH, KAZEM YAVARI, ALI SALEHABADI, and MOHAMMAD ESAEI TAFRESHI, “STATISTICAL ARBITRAGE TEST IN TEHRAN STOCK EXCHANGE,” JOURNAL OF ECONOMIC RESEARCH AND POLICIES, vol. 22, no. 70, pp. 247–268, 2014, [Online]. Available: https://sid.ir/paper/89535/en

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