Please use this identifier to cite or link to this item: https://cuir.car.chula.ac.th/handle/123456789/75942
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dc.contributor.advisorNarapong Srivisal-
dc.contributor.authorSalinporn Dachasiriprapha-
dc.contributor.otherChulalongkorn University. Faculty of Commerce and Accountancy-
dc.date.accessioned2021-09-21T05:41:03Z-
dc.date.available2021-09-21T05:41:03Z-
dc.date.issued2020-
dc.identifier.urihttp://cuir.car.chula.ac.th/handle/123456789/75942-
dc.descriptionIndependent Study (M.Sc.)--Chulalongkorn University, 2020-
dc.description.abstractThis 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.-
dc.language.isoen-
dc.publisherChulalongkorn University-
dc.relation.urihttp://doi.org/10.58837/CHULA.IS.2020.60-
dc.rightsChulalongkorn University-
dc.subjectStock exchanges -- Thailand-
dc.subjectStocks-
dc.subjectEarnings per share-
dc.subjectตลาดหลักทรัพย์-
dc.subjectหุ้นและการเล่นหุ้น-
dc.subjectกำไรต่อหุ้น-
dc.subject.classificationBusiness-
dc.titleArbitrage profit from pairwise correlation: evidence from Thailand-
dc.title.alternativeกลยุทธ์การทำกำไรจากผลต่างราคาหุ้นที่มีความสัมพันธ์กันในตลาดหลักทรัพย์แห่งประเทศไทย-
dc.typeIndependent Study-
dc.degree.nameMaster of Science-
dc.degree.levelMaster's Degree-
dc.degree.disciplineFinance-
dc.degree.grantorChulalongkorn University-
dc.identifier.DOI10.58837/CHULA.IS.2020.60-
Appears in Collections:Acctn - Independent Studies

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