Testando a existência de efeito Lead-lag entre os mercados acionários norte-americano e brasileiro

AUTOR(ES)
DATA DE PUBLICAÇÃO

2008

RESUMO

This study is aimed at identifying the existence of lead-lag effects between the US stock market, represented by the New York Stock Exchange (NYSE), and the Brazilian stock market, represented by the Sao Paulo Stock Exchange (BOVESPA), i.e. whether upward and downward price movements in the NYSE are followed, on average, by similar movements in BOVESPA, which would make possible a certain degree of predictability of stock prices in the Brazilian market thus allowing arbitrage opportunities. The existence of that effect would indicate a relative segmentation between these two markets, which would violate the Efficient Market Hypothesis, according to which stock prices are unpredictable. The sample comprised the period from July 2006 to September 2007, using data on the Dow Jones Industrial Average Index (DJIA) and the Bovespa Stock Index (IBOVESPA) within the intraday frequency of one minute. Cointegration between the two markets was identified by means of the Engle-Granger and the Johansen tests, as well as the existence of bi-directional causality, by means of the Granger causality test. The results obtained from VECM, TSLS and GARCH regressions showed that the two markets are segmented and that the IBOVESPA returns are, to a large extent, explained by the stock price movements in NYSE which occur some minutes before. The results diverge from the HME assumption that stock prices are unpredictable. However, the results also show that the practice of arbitrage based on the leadlag effects are not economically feasible due to transaction costs.

ASSUNTO(S)

administracao financeira efeito lead-lag hipótese do mercado eficiente (hme)

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