Empirical evidence: arbitrage with Exchange-traded Funds (ETFs) on the brazilian market
Autor(a) principal: | |
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Data de Publicação: | 2013 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | por eng |
Título da fonte: | Revista Contabilidade & Finanças (Online) |
Texto Completo: | https://www.revistas.usp.br/rcf/article/view/58651 |
Resumo: | According to risk management literature, diversification helps mitigate risk. Index funds, known as exchange-traded funds (ETFs), which were recently introduced into the Brazilian market, make diversification straightforward to accomplish. This paper investigates the efficiency of the valuation process of the Ibovespa iShares with respect to the fair value of the shares. For this purpose, a high-frequency time series analysis of ETFs and Ibovespa was used, followed by strategy simulations that included goodwill and negative goodwill between asset sets with and without transaction costs. To avoid data-snooping effects on the transaction outcomes, a time series bootstrap was applied. The results initially indicated share-pricing inefficiency because the inclusion of goodwill and negative goodwill in the strategy resulted in returns of 172.5% above the fund's index. Additionally, it became apparent that even with the introduction of operating costs, the gains continued to exhibit inefficiency. However, after applying the bootstrap technique, the results did not suggest excess returns, which could be attributed to data snooping. Therefore, the results demonstrate the impossibility of agents earning abnormal returns from the differences between the values of the ETF share and its corresponding index, thereby indicating that the Ibovespa iShare fund pricing is efficient. |
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Empirical evidence: arbitrage with Exchange-traded Funds (ETFs) on the brazilian market Evidências empíricas: arbitragem no mercado brasileiro com fundos ETFs ETFArbitragemHipótese de eficiência de mercadoData-SnoopingETFArbitrageMarket-efficiency hypothesisData snooping According to risk management literature, diversification helps mitigate risk. Index funds, known as exchange-traded funds (ETFs), which were recently introduced into the Brazilian market, make diversification straightforward to accomplish. This paper investigates the efficiency of the valuation process of the Ibovespa iShares with respect to the fair value of the shares. For this purpose, a high-frequency time series analysis of ETFs and Ibovespa was used, followed by strategy simulations that included goodwill and negative goodwill between asset sets with and without transaction costs. To avoid data-snooping effects on the transaction outcomes, a time series bootstrap was applied. The results initially indicated share-pricing inefficiency because the inclusion of goodwill and negative goodwill in the strategy resulted in returns of 172.5% above the fund's index. Additionally, it became apparent that even with the introduction of operating costs, the gains continued to exhibit inefficiency. However, after applying the bootstrap technique, the results did not suggest excess returns, which could be attributed to data snooping. Therefore, the results demonstrate the impossibility of agents earning abnormal returns from the differences between the values of the ETF share and its corresponding index, thereby indicating that the Ibovespa iShare fund pricing is efficient. De acordo com a literatura de gestão de risco, a diversificação contribui para a mitigação do risco. Neste sentido, os fundos de índice Exchange Traded Funds (ETF), recém-introduzidos no mercado brasileiro, permitem sua fácil execução. Dentro deste contexto, o presente artigo investiga a eficiência do processo de valuation das cotas do fundo iShare Ibovespa com relação ao seu valor justo. Para isto, primeiramente é empregada uma análise das séries temporais de alta frequência do ETF e Ibovespa, seguido de simulações de estratégias que contemplem ágios/deságios entre as séries dos ativos, sem e com custos de transação. A fim de evitar efeitos de Data-Snooping nos resultados das operações, foi aplicado um Bootstrap para séries temporais. No primeiro momento os resultados apontam para uma ineficiência do apreçamento das cotas, visto que a incorporação de ágios/deságios na estratégia produziu retornos de 172,5% acima de seu índice. No segundo, verifica-se que mesmo com a introdução dos custos operacionais, os ganhos ainda assim apresentam ineficiência. Entretanto, a partir da técnica de Bootstrap, os resultados não apontaram para retornos excedentes, o que pode ser atribuído meramente ao fenômeno de Data-Snooping. Os resultados evidenciam, portanto, a inviabilidade dos agentes em auferir rendimentos anormais a partir de divergências entre os valores da cota do ETF e seu respectivo índice, o que indica uma eficiência nas precificações das cotas do fundo iShare Ibovespa. Universidade de São Paulo. Faculdade de Economia, Administração, Contabilidade e Atuária2013-04-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfapplication/pdfhttps://www.revistas.usp.br/rcf/article/view/5865110.1590/S1519-70772013000100007Revista Contabilidade & Finanças; v. 24 n. 61 (2013); 64-74 Revista Contabilidade & Finanças; Vol. 24 No. 61 (2013); 64-74 Revista Contabilidade & Finanças; Vol. 24 Núm. 61 (2013); 64-74 1808-057X1519-7077reponame:Revista Contabilidade & Finanças (Online)instname:Universidade de São Paulo (USP)instacron:USPporenghttps://www.revistas.usp.br/rcf/article/view/58651/61736https://www.revistas.usp.br/rcf/article/view/58651/61737Copyright (c) 2018 Revista Contabilidade & Finançasinfo:eu-repo/semantics/openAccessMaluf, Yuri SampaioAlbuquerque, Pedro Henrique Melo2013-07-16T13:07:33Zoai:revistas.usp.br:article/58651Revistahttp://www.revistas.usp.br/rcf/indexPUBhttps://old.scielo.br/oai/scielo-oai.phprecont@usp.br||recont@usp.br1808-057X1519-7077opendoar:2013-07-16T13:07:33Revista Contabilidade & Finanças (Online) - Universidade de São Paulo (USP)false |
dc.title.none.fl_str_mv |
Empirical evidence: arbitrage with Exchange-traded Funds (ETFs) on the brazilian market Evidências empíricas: arbitragem no mercado brasileiro com fundos ETFs |
title |
Empirical evidence: arbitrage with Exchange-traded Funds (ETFs) on the brazilian market |
spellingShingle |
Empirical evidence: arbitrage with Exchange-traded Funds (ETFs) on the brazilian market Maluf, Yuri Sampaio ETF Arbitragem Hipótese de eficiência de mercado Data-Snooping ETF Arbitrage Market-efficiency hypothesis Data snooping |
title_short |
Empirical evidence: arbitrage with Exchange-traded Funds (ETFs) on the brazilian market |
title_full |
Empirical evidence: arbitrage with Exchange-traded Funds (ETFs) on the brazilian market |
title_fullStr |
Empirical evidence: arbitrage with Exchange-traded Funds (ETFs) on the brazilian market |
title_full_unstemmed |
Empirical evidence: arbitrage with Exchange-traded Funds (ETFs) on the brazilian market |
title_sort |
Empirical evidence: arbitrage with Exchange-traded Funds (ETFs) on the brazilian market |
author |
Maluf, Yuri Sampaio |
author_facet |
Maluf, Yuri Sampaio Albuquerque, Pedro Henrique Melo |
author_role |
author |
author2 |
Albuquerque, Pedro Henrique Melo |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Maluf, Yuri Sampaio Albuquerque, Pedro Henrique Melo |
dc.subject.por.fl_str_mv |
ETF Arbitragem Hipótese de eficiência de mercado Data-Snooping ETF Arbitrage Market-efficiency hypothesis Data snooping |
topic |
ETF Arbitragem Hipótese de eficiência de mercado Data-Snooping ETF Arbitrage Market-efficiency hypothesis Data snooping |
description |
According to risk management literature, diversification helps mitigate risk. Index funds, known as exchange-traded funds (ETFs), which were recently introduced into the Brazilian market, make diversification straightforward to accomplish. This paper investigates the efficiency of the valuation process of the Ibovespa iShares with respect to the fair value of the shares. For this purpose, a high-frequency time series analysis of ETFs and Ibovespa was used, followed by strategy simulations that included goodwill and negative goodwill between asset sets with and without transaction costs. To avoid data-snooping effects on the transaction outcomes, a time series bootstrap was applied. The results initially indicated share-pricing inefficiency because the inclusion of goodwill and negative goodwill in the strategy resulted in returns of 172.5% above the fund's index. Additionally, it became apparent that even with the introduction of operating costs, the gains continued to exhibit inefficiency. However, after applying the bootstrap technique, the results did not suggest excess returns, which could be attributed to data snooping. Therefore, the results demonstrate the impossibility of agents earning abnormal returns from the differences between the values of the ETF share and its corresponding index, thereby indicating that the Ibovespa iShare fund pricing is efficient. |
publishDate |
2013 |
dc.date.none.fl_str_mv |
2013-04-01 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://www.revistas.usp.br/rcf/article/view/58651 10.1590/S1519-70772013000100007 |
url |
https://www.revistas.usp.br/rcf/article/view/58651 |
identifier_str_mv |
10.1590/S1519-70772013000100007 |
dc.language.iso.fl_str_mv |
por eng |
language |
por eng |
dc.relation.none.fl_str_mv |
https://www.revistas.usp.br/rcf/article/view/58651/61736 https://www.revistas.usp.br/rcf/article/view/58651/61737 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2018 Revista Contabilidade & Finanças info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2018 Revista Contabilidade & Finanças |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf application/pdf |
dc.publisher.none.fl_str_mv |
Universidade de São Paulo. Faculdade de Economia, Administração, Contabilidade e Atuária |
publisher.none.fl_str_mv |
Universidade de São Paulo. Faculdade de Economia, Administração, Contabilidade e Atuária |
dc.source.none.fl_str_mv |
Revista Contabilidade & Finanças; v. 24 n. 61 (2013); 64-74 Revista Contabilidade & Finanças; Vol. 24 No. 61 (2013); 64-74 Revista Contabilidade & Finanças; Vol. 24 Núm. 61 (2013); 64-74 1808-057X 1519-7077 reponame:Revista Contabilidade & Finanças (Online) instname:Universidade de São Paulo (USP) instacron:USP |
instname_str |
Universidade de São Paulo (USP) |
instacron_str |
USP |
institution |
USP |
reponame_str |
Revista Contabilidade & Finanças (Online) |
collection |
Revista Contabilidade & Finanças (Online) |
repository.name.fl_str_mv |
Revista Contabilidade & Finanças (Online) - Universidade de São Paulo (USP) |
repository.mail.fl_str_mv |
recont@usp.br||recont@usp.br |
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1787713776734175232 |