Chulalongkorn University Theses and Dissertations (Chula ETD)
Other Title (Parallel Title in Other Language of ETD)
กลยุทธ์การทำกำไรจากผลต่างราคาหุ้นที่มีความสัมพันธ์กันในตลาดหลักทรัพย์แห่งประเทศไทย
Year (A.D.)
2020
Document Type
Independent Study
First Advisor
Narapong Srivisal
Faculty/College
Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)
Department (if any)
Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)
Degree Name
Master of Science
Degree Level
Master's Degree
Degree Discipline
Finance
DOI
10.58837/CHULA.IS.2020.60
Abstract
This paper aims to examine the usefulness of the Dynamic Conditional Correlation in the aspect of pair trade. Since one of the challenges in the pair trading is pair formation, this research would like to fulfill and find a new method for pair formation. Also, not only find the effective way to form pair we also examine whether this strategy can generate an abnormal return by constructs the portfolio where short one stock and long another one, by this investor can enjoy a 2-way price spread. The finding in this suggests that first by using Dynamic Conditional Correlation to form pair can generate higher of winning pair than losing pair. The secondary, abnormal return does exist in Stock Exchange of Thailand in a specific period. Also, using price information from extraordinary events can generate an annualized abnormal return around 39% higher than the normal period.
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Recommended Citation
Dachasiriprapha, Salinporn, "Arbitrage profit from pairwise correlation: evidence from Thailand" (2020). Chulalongkorn University Theses and Dissertations (Chula ETD). 7574.
https://digital.car.chula.ac.th/chulaetd/7574