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Modelo Cost-Of-Carry: Mispricing, Retornos e Volatilidades do Índice PSI-20 e dos Futuros PSI-20

Author

Listed:
  • Manuela Magalhaes
  • Carlos carvalhosa

Abstract

Perante a evidência de um mispricing entre o preço do contracto de Futuros PSI-20 e o preço teórico do Futuro PSI-20, modelizado segundo a teoria do cost-of-carry, procedemos à análise da dinâmica da rentabilidade e da volatilidade entre o índice PSI-20 e o Futuro PSI-20. A evidência empírica mostra que existe interdependência entre os retornos dos dois mercados, no curto prazo. No que concerne à volatilidade, transmissão que se verifica, no curto prazo, é dentro do próprio mercado, não se verificando volatilidade cruzada. A volatilidade dos mercados decorre, também, da sazonalidade intraday.

Suggested Citation

  • Manuela Magalhaes & Carlos carvalhosa, 2005. "Modelo Cost-Of-Carry: Mispricing, Retornos e Volatilidades do Índice PSI-20 e dos Futuros PSI-20," Finance 0505014, University Library of Munich, Germany.
  • Handle: RePEc:wpa:wuwpfi:0505014
    Note: Type of Document - pdf; pages: 19
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0505/0505014.pdf
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    More about this item

    Keywords

    Contracto Futuro; Mispricing; Cost-of-carry;

    JEL classification:

    • G - Financial Economics

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