Applying pairs trading to Vietnamese stocks

Abstract

In this research, we nd out Pairs Trading's de nition, alogrithm. Then we apply pairs trading in Vietnamese stock market. 50 pairs of stocks in Vietnamese stock market are used to apply pairs trading. Next, we use One tailed Z-test to consider the probability of getting pro ts and we get the probability that the pro ts are positive is 89.17%. Finally, to check the factors which impact on the pro ts of the stocks which are applied pairs trading. And we also consider the interaction between the category Banking/ Insurance and the remaining categories