I am unable to find cointegrated pairs on NSE

AI & Machine learning
1

Hi



I have been trying to find cointegrated pairs on NSE. Unable to find so far. Any pointers would be appreciated.

 

2

You can find cointegrated pairs through the following steps

  1. Company part of same sector such as Private Banks, PSU Banks, Cement etc
  2. Having similar market capitalization
  3. Similar fundamentals such as earnings growth, ROE etc
  4. (Optional) from the same management



    Examples
  5. HDFC and HDFC Bank
  6. Bajaj Finserv and Bajaj Finance
  7. ACC and Ambuja



    Please note that cointegration in stock is observed to be not stable. Often times, we have observed that cointegration loses for a brief amount of time and then comes back. 
3

Thank you!