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Article
Analysis of the Bovespa Futures and Spot Indexes With High Frequency Data
Author(s)
Edimilson Costa Lucas, Danilo Braun Santos, Bruno Nunes Medeiro, Vinicius Augusto Brunassi Silva, Luiz Carlos Monteiro
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DOI:10.17265/1537-1506/2015.04.003
Affiliation(s)
Edimilson Costa Lucas, master degree in statistics, EAESP-FGV, Sao Paulo, Brazil.
Danilo Braun Santos, master degree in applied mathematics, UNIFESP/EPPEN, EAESP-FGV, Sao Paulo, Brazil.
Bruno Nunes Medeiro, master degree in business administration, EAESP-FGV, Sao Paulo, Brazil.
Vinicius Augusto Brunassi Silva, master degree in business administration, EAESP-FGV, Sao Paulo, Brazil.
Luiz Carlos Monteiro, master degree in economics, UNAM—Universidad Nacional de Misiones, Misiones, Argentina.
ABSTRACT
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.
KEYWORDS
econometric models, arbitration, stock exchange, vector autoregressive (VAR), vector error correction (VEC), Granger causality
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