• Login
    View Item 
    •   NWU-IR Home
    • Electronic Theses and Dissertations (ETDs)
    • Economic and Management Sciences
    • View Item
    •   NWU-IR Home
    • Electronic Theses and Dissertations (ETDs)
    • Economic and Management Sciences
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Managing an agricultural commodities portfolio in South Africa with pairs trading

    Thumbnail
    View/Open
    heymans_andre(1).pdf (39.39Mb)
    Date
    2007
    Author
    Heymans, André
    Metadata
    Show full item record
    Abstract
    Although a pair trading is well known among South African agricultural commodity traders, there are no comprehensive documented accounts for the selection and trading of agricultural commodity pairs in South Africa. The majority of agricultural commodity pairs traders take positions based on their personal view of price movements, without testing for a statistical relationship between the paired commodities that will guarantee that their prices will move back to a common mean. To remedy this lack of method regarding the pairs selection and pairs trading processes, a comprehensive pairs selection process was developed and is documented in this thesis. During the pairs selection process, several agricultural commodities were put through a rigorous evaluation process to test for any long-run statistical relationships between them. This was done to ensure that only pairs with stable long-run statistical relationships were included in the final pair’s portfolio that was compiled. In order to test the profitability of this pair’s portfolio, several fundamental and technical indicators were used to determine entry and exit points. Although some of these indicators did not render satisfactory results, the RSI and Bollinger bands succeeded in realising an acceptable profit.
    URI
    http://hdl.handle.net/10394/2308
    Collections
    • Economic and Management Sciences [4593]

    Copyright © North-West University
    Contact Us | Send Feedback
    Theme by 
    Atmire NV
     

     

    Browse

    All of NWU-IR Communities & CollectionsBy Issue DateAuthorsTitlesSubjectsAdvisor/SupervisorThesis TypeThis CollectionBy Issue DateAuthorsTitlesSubjectsAdvisor/SupervisorThesis Type

    My Account

    LoginRegister

    Copyright © North-West University
    Contact Us | Send Feedback
    Theme by 
    Atmire NV