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 |
| Published: |
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 |