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Doctoral Thesis
DOI
10.11606/T.12.2006.tde-10042007-123346
Document
Author
Full name
Daphnis Theodoro da Silva Junior
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2006
Supervisor
Committee
Corrar, Luiz Joao (President)
Carmo, Heron Carlos Esvael do
Lopes, Alexsandro Broedel
Marçal, Emerson Fernandes
Nakamura, Wilson Toshiro
Title in Portuguese
O conteúdo informacional dos contratos futuros de Ibovespa
Keywords in Portuguese
Derivativos
Finanças
Mercado futuro
Abstract in Portuguese
A Hipótese de Eficiência de Mercado (HEM) pode ser sumarizada por esta definição: ?A market in which prices always ?fully reflect? available information is called ?efficient?.? (Fama, 1970). Nesta tese é investigada a existência de conteúdo informacional, sobre o comportamento futuro do índice Bovespa a vista, nas posições de contratos futuros de índice Bovespa em aberto carregadas de um dia para o outro pelos diferentes tipos de participantes desse mercado. Por meio do uso da metodologia de cointegração de Johansen e da abordagem de modelagem GETS, foi encontrado conteúdo informacional, mas seu poder explicativo não é alto, situando-se entre 10 e 20 %.
Title in English
The informational content of the future contracts of IBOVESPA
Keywords in English
Derivatives
Finances
Future market
Abstract in English
The Efficient Market Hypothesis (EMH) can be summarized by this definition: ?A market in which prices always ?fully reflect? available information is called ?efficient?.? (Fama,1970). In this dissertation is investigated the existence of information content, regarding the future behavior of spot Bovespa index, in the open positions of futures contracts of Bovespa index carried overnight by the different types of participants of this market. Using Johansen?s cointegration framework and the GETS modeling approach, was found some information content, but the explanation power is not high, lying between 10 to 20%.
 
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Tese_Daphnis.pdf (6.53 Mbytes)
Publishing Date
2007-04-24
 
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