Abnormal Returns in the Ibovespa Using Models for High-Frequency Data

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...

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Bibliographic Details
Main Authors: Aureliano Angel Bressan, Wagner Moura Lamounier, Nelson Ferreira Fonseca
Format: Article
Language:English
Published: Brazilian Society of Finance 2012-06-01
Series:Revista Brasileira de Finanças
Subjects:
trading strategies
high-frequency data
IBOVESPA
Online Access:http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/3654/2694

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