Abnormal Returns in the Ibovespa Using Models for High-Frequency Data
This article aims to identify profitable trading strategies based on the effects of leads and lags between the spot and futures equity markets in Brazil, using high frequency data. To achieve this objective and based on historical data of the Bovespa and the Bovespa Future indexes, four forecasting...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Brazilian Society of Finance
2012-06-01
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| Series: | Revista Brasileira de Finanças |
| Subjects: | |
| Online Access: | http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/3654/2694 |
| _version_ | 1818980135901069312 |
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| author | Aureliano Angel Bressan Wagner Moura Lamounier Nelson Ferreira Fonseca |
| author_facet | Aureliano Angel Bressan Wagner Moura Lamounier Nelson Ferreira Fonseca |
| author_sort | Aureliano Angel Bressan |
| collection | DOAJ |
| description | This article aims to identify profitable trading strategies based on the effects of leads and lags between the spot and futures equity markets in Brazil, using high frequency data. To achieve this objective and based on historical data of the Bovespa and the Bovespa Future indexes, four forecasting models have been built: ARIMA, ARFIMA, VAR, and VECM. The trading strategies tested were: net trading strategy, buy and hold strategy, and filter strategy – better than average predicted return. The period of analysis of this paper extends from August 1, 2006 to October 16, 2009. In this work, it was possible to obtain abnormal returns using trading strategies with the VAR model on the effects of leads and lags between the Bovespa index and Bovespa Future index. |
| first_indexed | 2024-12-20T17:10:37Z |
| format | Article |
| id | doaj.art-93fd4a3b3cd24eaba74d39fcd75b9835 |
| institution | Directory Open Access Journal |
| issn | 1679-0731 1984-5146 |
| language | English |
| last_indexed | 2024-12-20T17:10:37Z |
| publishDate | 2012-06-01 |
| publisher | Brazilian Society of Finance |
| record_format | Article |
| series | Revista Brasileira de Finanças |
| spelling | doaj.art-93fd4a3b3cd24eaba74d39fcd75b98352022-12-21T19:32:09ZengBrazilian Society of FinanceRevista Brasileira de Finanças1679-07311984-51462012-06-01102243265Abnormal Returns in the Ibovespa Using Models for High-Frequency DataAureliano Angel BressanWagner Moura LamounierNelson Ferreira FonsecaThis article aims to identify profitable trading strategies based on the effects of leads and lags between the spot and futures equity markets in Brazil, using high frequency data. To achieve this objective and based on historical data of the Bovespa and the Bovespa Future indexes, four forecasting models have been built: ARIMA, ARFIMA, VAR, and VECM. The trading strategies tested were: net trading strategy, buy and hold strategy, and filter strategy – better than average predicted return. The period of analysis of this paper extends from August 1, 2006 to October 16, 2009. In this work, it was possible to obtain abnormal returns using trading strategies with the VAR model on the effects of leads and lags between the Bovespa index and Bovespa Future index.http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/3654/2694trading strategieshigh-frequency dataIBOVESPA |
| spellingShingle | Aureliano Angel Bressan Wagner Moura Lamounier Nelson Ferreira Fonseca Abnormal Returns in the Ibovespa Using Models for High-Frequency Data Revista Brasileira de Finanças trading strategies high-frequency data IBOVESPA |
| title | Abnormal Returns in the Ibovespa Using Models for High-Frequency Data |
| title_full | Abnormal Returns in the Ibovespa Using Models for High-Frequency Data |
| title_fullStr | Abnormal Returns in the Ibovespa Using Models for High-Frequency Data |
| title_full_unstemmed | Abnormal Returns in the Ibovespa Using Models for High-Frequency Data |
| title_short | Abnormal Returns in the Ibovespa Using Models for High-Frequency Data |
| title_sort | abnormal returns in the ibovespa using models for high frequency data |
| topic | trading strategies high-frequency data IBOVESPA |
| url | http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/3654/2694 |
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