페어트레이딩 전략의 수익성 연구 : 해외 선물시장을 중심으로

Pairs trading is an arbitrage trading strategy using statistical properties of the spreads between two assets. This study analyzes the performance of the statistical pairs trading with the pairs selected from the same category as well as from the different category in the CME and other futures markets. Empirical results show that the pairs trading performance of the same category is poor whereas that of the different category proves profitable. This implies that the spreads between different category pairs can have the mean reversion property if pairs are properly selected using co-integration test, which is contrary to the existing research results on the overseas futures pairs trading.