Título: | THE LEAD-LAG RELATIONSHIP BETWEEN THE SPOT AND FUTURE DOW JONES INDUSTRIAL AVERAGE INDEX | ||||||||||||||||||||||||||||||||||||||||
Autor: |
GEORGES EDUARDO GERBAULD CATALAO |
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Colaborador(es): |
MARCELO CABUS KLOTZLE - Orientador |
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Catalogação: | 17/AGO/2009 | Língua(s): | PORTUGUESE - BRAZIL |
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Tipo: | TEXT | Subtipo: | THESIS | ||||||||||||||||||||||||||||||||||||||
Notas: |
[pt] Todos os dados constantes dos documentos são de inteira responsabilidade de seus autores. Os dados utilizados nas descrições dos documentos estão em conformidade com os sistemas da administração da PUC-Rio. [en] All data contained in the documents are the sole responsibility of the authors. The data used in the descriptions of the documents are in conformity with the systems of the administration of PUC-Rio. |
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Referência(s): |
[pt] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=13994&idi=1 [en] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=13994&idi=2 |
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DOI: | https://doi.org/10.17771/PUCRio.acad.13994 | ||||||||||||||||||||||||||||||||||||||||
Resumo: | |||||||||||||||||||||||||||||||||||||||||
With the internet birth, markets are more connected and accurately priced each
day. The possibility to buy and sell assets online contributed to markets
efficiency, hence now it’s easier to spread and price new information. The
efficient market theory says that assets prices must react instantly to new
information, thus there should be no space for arbitrage. Nevertheless this is
frequently not true in the real world. In contrast with what the efficient market
theory establishes, there are several factors that contribute to market inefficiency
and asymmetry. A source of market inefficiency, for instance, is the transactional
cost, which many times turn arbitrages practice impossible. Another example that
contributes to market asymmetry is the possibility to leverage much more in the
future markets than in the spot markets, since just a small fraction of the traded
amount is required. These issues putted together create an effect known in the
academy as the Lead-lag effect. More precisely, there is an asset that anticipates
(lead) the movement of another asset (lag), in other words, we can say that one
asset reacts faster to new information than the other one.
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