Are price limits on futures markets that cool? Evidence from the brazilian merchantile & futures exchange
Autor(a) principal: | |
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Data de Publicação: | 2004 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | https://hdl.handle.net/10438/149 |
Resumo: | This paper investigates the impact of price limits on the Brazil- ian future markets using high frequency data. The aim is to identify whether there is a cool-off or a magnet effect. For that purpose, we examine a tick-by-tick data set that includes all contracts on the São Paulo stock index futures traded on the Brazilian Mercantile and Futures Exchange from January 1997 to December 1999. Our main finding is that price limits drive back prices as they approach the lower limit. There is a strong cool-off effect of the lower limit on the conditional mean, whereas the upper limit seems to entail a weak magnet effect on the conditional variance. We then build a trading strategy that accounts for the cool-off effect so as to demonstrate that the latter has not only statistical, but also economic signifi- cance. The resulting Sharpe ratio indeed is way superior to the buy-and-hold benchmarks we consider. |
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Rocha, Marco Aurélio dos SantosEscolas::EPGEFGVBonomo, Marco Antônio CesarNovaes, WalterFernandes, Marcelo2008-05-13T13:16:30Z2008-05-13T13:16:30Z2004-08-252004-08-25ROCHA, Marco Aurélio dos Santos. Are price limits on futures markets that cool? Evidence from the brazilian merchantile & futures exchange. Dissertação (Mestrado em Economia) - FGV - Fundação Getúlio Vargas, Rio de Janeiro, 2004.https://hdl.handle.net/10438/149This paper investigates the impact of price limits on the Brazil- ian future markets using high frequency data. The aim is to identify whether there is a cool-off or a magnet effect. For that purpose, we examine a tick-by-tick data set that includes all contracts on the São Paulo stock index futures traded on the Brazilian Mercantile and Futures Exchange from January 1997 to December 1999. Our main finding is that price limits drive back prices as they approach the lower limit. There is a strong cool-off effect of the lower limit on the conditional mean, whereas the upper limit seems to entail a weak magnet effect on the conditional variance. We then build a trading strategy that accounts for the cool-off effect so as to demonstrate that the latter has not only statistical, but also economic signifi- cance. The resulting Sharpe ratio indeed is way superior to the buy-and-hold benchmarks we consider.engAre price limits on futures markets that cool? Evidence from the brazilian merchantile & futures exchangeinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisEconomiaMercado futuroMercado financeiroinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINALPDFPDFapplication/pdf598310https://repositorio.fgv.br/bitstreams/d644026b-22e7-4c4c-a858-d9a120b8fc68/download8aa055fe32d35fc0babda13798af7c71MD51TEXT1718.pdf.txt1718.pdf.txtExtracted Texttext/plain58057https://repositorio.fgv.br/bitstreams/18b15937-c960-47f6-a7f9-7a849137f6d1/downloadd7d689dd6ca30840b6dc71e54997e8efMD52PDF.txtPDF.txtExtracted texttext/plain62899https://repositorio.fgv.br/bitstreams/2236d337-e2e8-48dc-a3c4-f1eb399e3f5a/download62ab22b421b96e6a321119cf43a12b8aMD54THUMBNAIL1718.pdf.jpg1718.pdf.jpgGenerated Thumbnailimage/jpeg1701https://repositorio.fgv.br/bitstreams/927eb59b-7d24-48a5-99f9-ec51ad72e76a/download28d8fc4867410efdb77fb51a98a5cba2MD53PDF.jpgPDF.jpgGenerated Thumbnailimage/jpeg3049https://repositorio.fgv.br/bitstreams/786c6bf7-e660-4ecb-a103-a9a08ffcc73d/downloadc0f1b4d86c2b74336d589747141edbcfMD5510438/1492024-07-08 19:21:58.001open.accessoai:repositorio.fgv.br:10438/149https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742024-07-08T19:21:58Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false |
dc.title.eng.fl_str_mv |
Are price limits on futures markets that cool? Evidence from the brazilian merchantile & futures exchange |
title |
Are price limits on futures markets that cool? Evidence from the brazilian merchantile & futures exchange |
spellingShingle |
Are price limits on futures markets that cool? Evidence from the brazilian merchantile & futures exchange Rocha, Marco Aurélio dos Santos Economia Mercado futuro Mercado financeiro |
title_short |
Are price limits on futures markets that cool? Evidence from the brazilian merchantile & futures exchange |
title_full |
Are price limits on futures markets that cool? Evidence from the brazilian merchantile & futures exchange |
title_fullStr |
Are price limits on futures markets that cool? Evidence from the brazilian merchantile & futures exchange |
title_full_unstemmed |
Are price limits on futures markets that cool? Evidence from the brazilian merchantile & futures exchange |
title_sort |
Are price limits on futures markets that cool? Evidence from the brazilian merchantile & futures exchange |
author |
Rocha, Marco Aurélio dos Santos |
author_facet |
Rocha, Marco Aurélio dos Santos |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EPGE |
dc.contributor.affiliation.none.fl_str_mv |
FGV |
dc.contributor.member.none.fl_str_mv |
Bonomo, Marco Antônio Cesar Novaes, Walter |
dc.contributor.author.fl_str_mv |
Rocha, Marco Aurélio dos Santos |
dc.contributor.advisor1.fl_str_mv |
Fernandes, Marcelo |
contributor_str_mv |
Fernandes, Marcelo |
dc.subject.area.por.fl_str_mv |
Economia |
topic |
Economia Mercado futuro Mercado financeiro |
dc.subject.bibliodata.por.fl_str_mv |
Mercado futuro Mercado financeiro |
description |
This paper investigates the impact of price limits on the Brazil- ian future markets using high frequency data. The aim is to identify whether there is a cool-off or a magnet effect. For that purpose, we examine a tick-by-tick data set that includes all contracts on the São Paulo stock index futures traded on the Brazilian Mercantile and Futures Exchange from January 1997 to December 1999. Our main finding is that price limits drive back prices as they approach the lower limit. There is a strong cool-off effect of the lower limit on the conditional mean, whereas the upper limit seems to entail a weak magnet effect on the conditional variance. We then build a trading strategy that accounts for the cool-off effect so as to demonstrate that the latter has not only statistical, but also economic signifi- cance. The resulting Sharpe ratio indeed is way superior to the buy-and-hold benchmarks we consider. |
publishDate |
2004 |
dc.date.submitted.none.fl_str_mv |
2004-08-25 |
dc.date.issued.fl_str_mv |
2004-08-25 |
dc.date.accessioned.fl_str_mv |
2008-05-13T13:16:30Z |
dc.date.available.fl_str_mv |
2008-05-13T13:16:30Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.citation.fl_str_mv |
ROCHA, Marco Aurélio dos Santos. Are price limits on futures markets that cool? Evidence from the brazilian merchantile & futures exchange. Dissertação (Mestrado em Economia) - FGV - Fundação Getúlio Vargas, Rio de Janeiro, 2004. |
dc.identifier.uri.fl_str_mv |
https://hdl.handle.net/10438/149 |
identifier_str_mv |
ROCHA, Marco Aurélio dos Santos. Are price limits on futures markets that cool? Evidence from the brazilian merchantile & futures exchange. Dissertação (Mestrado em Economia) - FGV - Fundação Getúlio Vargas, Rio de Janeiro, 2004. |
url |
https://hdl.handle.net/10438/149 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
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