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COVID-19 Effects on Arbitrage Trading in the Energy Market.
- Source :
- Energies (19961073); Jul2022, Vol. 15 Issue 13, p4584-N.PAG, 13p
- Publication Year :
- 2022
-
Abstract
- This paper investigates the effects of coronavirus disease 2019 (COVID-19) on the performance of arbitrage trading in the energy market using daily data covering the period between 1 January 2015 and 5 December 2021. The investigation was achieved by utilizing a parametric pairs-trading model, where pairs of energy-related securities, including futures, stocks and ETFs traded in the United States, are formed. The empirical results suggest that the out-of-sample performances of pair trading declined sharply in the face of COVID-19. Dividing the whole data sample into two sub-samples, we found that the strategy performed well before COVID-19 but yielded poor results in the pandemic era. The analysis presented in this paper could serve as a benchmark for arbitrage-based trading models in the energy market during the pandemic. [ABSTRACT FROM AUTHOR]
- Subjects :
- COVID-19
ARBITRAGE
STOCKS (Finance)
Subjects
Details
- Language :
- English
- ISSN :
- 19961073
- Volume :
- 15
- Issue :
- 13
- Database :
- Complementary Index
- Journal :
- Energies (19961073)
- Publication Type :
- Academic Journal
- Accession number :
- 157997677
- Full Text :
- https://doi.org/10.3390/en15134584