This article aims to identify profitable trading strategies based on the
effects of leads and lags between the spot and futures equity markets in
Brazil, using high frequency data. To achieve this objective and based on
historical data of the Bovespa and the Bovespa Future indexes, four
forecasting models have been built: ARIMA, ARFIMA, VAR, and VECM. The
trading strategies tested were: net trading strategy, buy and hold strategy,
and filter strategy – better than average predicted return. The period of
analysis of this paper extends from August 1, 2006 to October 16, 2009. In
this work, it was possible to obtain abnormal returns using trading
strategies with the VAR model on the effects of leads and lags between the
Bovespa index and Bovespa Future index.
Retornos Anormais no Ibovespa Utilizando Modelos para Dados de Alta
Frequência
