Analysis of the Bovespa Futures and Spot Indexes With High Frequency Data. Chinese Business Review

• Autor(a) principal: LUCAS, Edimilson Costa
• Data de Publicação: 2015
• Outros Autores: SANTOS, Danilo Braun, MEDEIRO, Bruno Nunes, SILVA, Vinicius Augusto Brunassi, MONTEIRO, Luiz Carlos
• Tipo de documento: Artigo
• Idioma: eng
• Título da fonte: Repositório Institucional da USCS
• Texto Completo: http://repositorio.uscs.edu.br/handle/123456789/840
• topic: Econometric models; Arbitration; Stock exchange; Vector autoregressive (VAR); Vector error correction (VEC); Granger causality

Data from the World Federation of Exchanges show that Brazil’s Sao Paulo stock exchange is one of the largest worldwide in terms of market value. Thus, the objective of this study is to obtain univariate and bivariate forecasting models based on intraday data from the futures and spot markets of the BOVESPA index. The interest is to verify if there exist arbitrage opportunities in Brazilian financial market. To this end, three econometric forecasting models were built: ARFIMA, vector autoregressive (VAR), and vector error correction (VEC). Furthermore, it presents the results of a Granger causality test for the aforementioned series. This type of study shows that it is important to identify arbitrage opportunities in financial markets and, in particular, in the application of these models on data of this nature. In terms of the forecasts made with these models, VEC showed better results. The causality test shows that futures BOVESPA index Granger causes spot BOVESPA index. This result may indicate arbitrage opportunities in Brazil.