Construção de Uma Carteira de Ações por Meio de Cointegração com a Carteira de Referência: Evidências a Partir de Ações da Bolsa de Valores de São Paulo
This paper examines the performance of a general dynamic equity indexing strategy based on cointegration, from a market efficiency perspective, observing the different levels of risk and regimes. This new portfolio will be compared with Markowitz portfolio model. The identification of these autore...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | Portuguese |
| Published: |
Universidade Presbiteriana Mackenzie
2008-06-01
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| Series: | Revista de Economia Mackenzie |
| Subjects: | |
| Online Access: | http://editorarevistas.mackenzie.br/index.php/rem/article/view/808 |
| Summary: | This paper examines the performance of a general dynamic equity indexing strategy based on cointegration, from a market efficiency perspective,
observing the different levels of risk and regimes. This new portfolio will be
compared with Markowitz portfolio model. The identification of these autoregressive regimes in the process of generating returns in the Brazilian Market,
especially in Bovespa, for the Plano Real period (January of 1995 to September of 2004), will be elaborated trough a Markov Switching Model. With this
model, is possible to identify the nonlinear structure of the data and it is relation to the conditional mean and conditional variance. As result the dynamics
of the data generation process, the returns can be described as function of the
growth cycle (“bull markets”) and decrease (“bear markets”). |
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| ISSN: | 1678-5002 1808-2785 |