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

Listed author(s):
  • Manuela Magalhaes
  • Carlos carvalhosa

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.

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Paper provided by EconWPA in its series Finance with number 0505014.

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Length: 19 pages
Date of creation: 17 May 2005
Handle: RePEc:wpa:wuwpfi:0505014
Note: Type of Document - pdf; pages: 19
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