000			01414nam a2200193 4500
999			_c50448 _d50448
003			OSt
005			20181119164611.0
008			181119b ||||| |||| 00| 0 eng d
100			_aMavrakis, Emmanouil _932463
245			_aStatistical Arbitrage Strategies under Different Market Conditions: The Case of the Greek Banking Sector
300			_a159-186 p.
520			_aIn this article, we examine the behaviour of cointegration-based pairs trading (PT) strategies, under different market conditions. Reported results indicate that changes in market conditions affect the stability of long-run relations between pairs of stocks, therefore suggesting that arbitrageurs should perform rebalancing between the examined stocks when a change in market trend is evident. The applicability of our results may be of importance to market participants; although cointegration applications have received considerable attention from hedge funds adopting statistical arbitrage (SA) strategies, little evidence has been reported for the validity of these trading strategies under changing market conditions.
653			_aCointegration
653			_apairs trading strategies
653			_amarket conditions
700			_aAlexakis,Christos _932464
773	0		_029445 _972762 _aGANGOPADHYAY, SHUBHASIS _dNEW DELHI SAGE PUBLICATION PVT. LTD. _o5559437 _tJOURNAL OF EMERGING MARKET FINANCE _x0972-6527
942			_2ddc _cJA-ARTICLE