Comportamento de pares de ações no mercado brasileiro sob a ótica da cointegração, para preços intra-diários

• Autor(a) principal: Brito, Sheyla Cristina dos Santos
• Data de Publicação: 2011
• Tipo de documento: Dissertação
• Idioma: por
• Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
• Texto Completo: http://hdl.handle.net/10438/8614
• topic: Cointegration; Pairs trading; Statistical arbitrage; Mean reversion; Historical simulation; Brazilian stock market; Mercado acionário brasileiro; Intra-diário; Economia; Ações (Finanças) - Brasil; Operações com pares (Finanças); Bolsa de valores - Brasil; Cointegração

This dissertation is focused on studying the Brazilian stock market behavior, more specifically related to a pair trading strategy. The assets included in here come from listed stocks of Brazilian Stock Exchange Index (Ibovespa) and the pair selection is exclusively based on a statistic characteristics, known as cointegration, without fundamentalist analysis. The applied theory treats similar movement of stock prices between pairs which tends to revert to an equilibrium mean of price differences. The strategy will present positive returns when reversion occurs in a pre-defined time. Back-testing data comprises intraday prices from 2006 until 2010 of Ibovespa stocks. The tools in which pair selection and trading rules are coded are MATLAB (selection) and Streambase (trading). Selection is processed through Dickey-Fuller augmented test into MATLAB to check the existence of a unit root on an error time series of a linear combination of stock prices, for each pair. Operation is simulated through intraday back-testing data as mentioned, input into Streambase tool. Within back-testing period, the strategy results are profitable in 2006, 2007 and 2010. Parameters, to enter and stop the operation, were adjusted for the first month of 2006 and could be successfully applied for the whole year of 2006 (yield of Selic + 5.8% for 2006), for 2007, where yield were close to Selic and for 2010, with yield of Selic + 10.8%. In periods of high volatility (2008 and 2009), tests with the same parameters of the ones adjusted for 2006 generated losses, showing the strategy is highly impacted per volatility returns of stock prices. This behavior suggests that, in actual operations, parameters should be constantly reevaluated in order to adapt them to volatile scenarios.