Stock market spread trading : Argentina and Brazil stock indexes
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 61-76 |
| Journal / Publication | Emerging Markets Finance and Trade |
| Volume | 50 |
| Issue number | Supplement 3 |
| Publication status | Published - May 2014 |
Link(s)
Abstract
Brazil has the largest stock market in South America; Argentina has one of the smallest. We investigate the spread relationship between these two markets, measured as the ratio of Brazil's Bovespa index to Argentina's Merval index. Using rescaled range analysis, we identify the presence of a time-varying fractal structure in this ratio. When a Hurst-based trading rule is applied, we find that episodes of fractality may be exploited by traders. Under some circumstances, these strategies are more profitable than economic gains from simple moving average systems, which exploit the autocorrelation structure of the series.
Research Area(s)
- Argentina Merval, Brazil Bovespa, Fractal structure, Hurst coefficient, Longterm dependence, Spread trading, Volatility.
Citation Format(s)
Stock market spread trading : Argentina and Brazil stock indexes. / Batten, Jonathan A.; Szilagyi, Peter G.; Wong, Michael C.S.
In: Emerging Markets Finance and Trade, Vol. 50, No. Supplement 3, 05.2014, p. 61-76.Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
