Pairs trading of Chinese and international commodities

Adrian Fernandez-Perez; Bart Frijns; Ivan Indriawan; Yiuman Tse

doi:10.1080/00036846.2020.1761009

Pairs trading of Chinese and international commodities

Adrian Fernandez-Perez, Bart Frijns, Ivan Indriawan, Yiuman Tse

University of Missouri-St. Louis

Research output: Contribution to journal › Article › peer-review

Original language	American English
Journal	Applied Economics
Volume	52
DOIs	https://doi.org/10.1080/00036846.2020.1761009
State	Published - 2020

Keywords

Pair trading
Chinese commodity futures
portfolio gains
arbitrage opportunities

Disciplines

Finance

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10.1080/00036846.2020.1761009License: Unspecified

Cite this

@article{e14f1f4b41474165b18b6732c9f2e2fb,

title = "Pairs trading of Chinese and international commodities",

keywords = "Pair trading, Chinese commodity futures, portfolio gains, arbitrage opportunities",

author = "Adrian Fernandez-Perez and Bart Frijns and Ivan Indriawan and Yiuman Tse",

note = "ABSTRACT We investigate the profitability of a pairs trading strategy using Chinese and international commodity futures contracts covering the period January 2004 to February 2018. We use a time-series approach where the commodity pairs share a similar underlying.",

year = "2020",

doi = "10.1080/00036846.2020.1761009",

language = "American English",

volume = "52",

journal = "Applied Economics",

}

TY - JOUR

T1 - Pairs trading of Chinese and international commodities

AU - Fernandez-Perez, Adrian

AU - Frijns, Bart

AU - Indriawan, Ivan

AU - Tse, Yiuman

N1 - ABSTRACT We investigate the profitability of a pairs trading strategy using Chinese and international commodity futures contracts covering the period January 2004 to February 2018. We use a time-series approach where the commodity pairs share a similar underlying.

PY - 2020

Y1 - 2020

KW - Pair trading

KW - Chinese commodity futures

KW - portfolio gains

KW - arbitrage opportunities

UR - https://doi.org/10.1080/00036846.2020.1761009

U2 - 10.1080/00036846.2020.1761009

DO - 10.1080/00036846.2020.1761009

M3 - Article

VL - 52

JO - Applied Economics

JF - Applied Economics

ER -

Pairs trading of Chinese and international commodities

Keywords

Disciplines

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