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What is Arbittrage in Emerging Markets about?
The paper investigates the profitability of a statistical arbitrage strategy using Pairs Trading based on the Hurst exponent across developed and emerging markets, revealing that the strategy is more profitable in emerging markets during uncertain periods. The study analyzes 50 large-cap companies from 39 countries between January 2000 and April 2020, demonstrating that lower Hurst exponents correlate with higher returns. The findings suggest that emerging markets exhibit inefficiencies compared to develope
- Author
- chingakhamkhagemba111
- Language
- EN