TITLE

TESTING THE COINTEGRATION HYPOTHESIS AND ITS CONSEQUENCES ON THE INVESTMENT STRATEGY. AN EMPIRICAL STUDY ON CENTRAL-EASTERN EUROPE

AUTHOR(S)
Dumencu, Alexandra
PUB. DATE
June 2012
SOURCE
Review of Economic Studies & Research Virgil Madgearu;Jun2012, Vol. 5 Issue 1, p45
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
Based on the theory of cointegration introduced by Engle and Granger and on the methodology developed by Johansen, this paper investigates long term cointegration between Central-Eastern European stock markets and the consequences of using Pairs Trading strategy as an investment approach. The stock price indexes of Romania, Hungary and Czech Republic are used, with daily data spanning from 4 January 1999 to 30 December 2009. The findings of this article outline optimum portfolios build using long and short positions of financial assets.
ACCESSION #
77554394

 

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