Financial market participants can benefit from understanding how shocks affect equity mispricings.
Energy corporates have been exposed to multiple structural changes over the past decades.
This paper applies the pairs trading algorithm of Figuerola-Ferretti et al. (2018) (Journal of Futures
Markets, 2018) to analyze mean reversion of cointegrated stocks in global energy equity markets.
Using daily data covering the US, Europe and Asia we report positive risk adjusted returns that
supersede their corresponding equity index counterparts. Pairs trading profitability is enhanced
when filtering stocks with the measure of capital expenditure (CAPEX).


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Author Biography

Isabel Figuerola-Ferretti, Finance Department, Universidad Pontificia Comillas

I am senior lecturer and researcher in Finance at ICADE, Universidad Pontificia de Comillas (Madrid), where I teach courses in Finance and lead the Quantitative Finance Research Group. I am also a member of the Ph.D committee of the doctoral program CETIS. I have been actively contributing to commodity research over the years publishing work in the Journal of Econometrics, the Journal of Futures Markets, the Journal of Empirical Finance, and Energy Economics among others. My latest piece of published research is coauthored with Prof Eduardo Schwartz (UCLA and SFU) and Alejandro Rodriguez (ICADE) and published in the Journal of Futures Markets . I hold a Research Excellence Price for a seminal paper on commodity price discovery. Other research interest include financial bubbles, portfolio management, sustainability and ESG investing and volatility. I worked as an assistant professor in the Business Department at Carlos III University (Madrid). Prior to that, I was Lecturer in the Economics Department in Queen Mary, University of London where I obtained my Ph.D in Financial Economics. I am an International Research Associate of the Research Center of Energy Management (ESCP Europe) and I am a member of the editorial board of the Journal of Futures Markets as well as advisory board editor of the Global commodities Applied Research Digest (GCARD) of the J.P Morgan Center for Commodities, University of Colorado Denver.
I am codirector of the Chair of Hydrogen Research officially launched by ICADE-ICAI in June 2021 and generously sponsored by Acerinox, Carburos Metálicos, Fundación Cepsa, Enagás, Management Solutions and Toyota.

How to Cite
Figuerola-Ferretti, I., Paraskevopoulos, I., & Tang, T. (2022). MISPRICINGS IN GLOBAL ENERGY MARKETS. Applied Finance Letters, 11(1), 75 - 85. https://doi.org/10.24135/afl.v11i1.538
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