Raphael Silveira Guerra Cavalcanti, J. F. D. Santos, Ramon Rodrigues dos Santos, Anderson Góis M. da Cunha
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This article impacts the area by contributing new evidence for better use of the model in the analysis of investments. From January 2016 to December 2018, the 90 most liquid assets of Bolsa, Brasil, Balcão (B3) were analyzed, totaling 5,927,400 possible pairs. The Augmented Dickey-Fuller test and subsequent backtesting of the pairs in the proposed period were used to evaluate the cointegration criteria. Statistical analysis was performed by parametric and non-parametric tests and Pearson and Spearman correlation analyses. The results found indicated that the formation of portfolios by pairs trading with dependent assets with the criterion of higher levels of volatility (20 periods) presented a superior performance. These findings can be justified by a better risk and return ratio for the portfolio, measured by the Sharpe Index of the returns obtained concerning the portfolio’s volatility, compared to a portfolio formation based on a random selection of the pairs. 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引用次数: 1
摘要
本研究的目的是了解股票的波动性如何影响投资组合的动态形成使用对交易模型在巴西股票市场。本文的突出之处在于提出了以往研究未涵盖的对交易模型中波动性影响的新证据,扩大了巴西股市分析的样本量。所选主题的相关性在于,投资者可以使用配对交易或多空模型来构建自己的投资组合。协整概念的运用在概率上有助于形成与市场指数弱相关且表现优异的投资组合。本文通过为在投资分析中更好地使用该模型提供新的证据来影响该领域。从2016年1月到2018年12月,我们分析了Bolsa, Brasil, balc (B3)的90种最具流动性的资产,共计5,927,400对。采用增广的Dickey-Fuller检验和随后的提议期间对的回测来评估协整标准。统计分析采用参数检验和非参数检验以及Pearson和Spearman相关分析。结果表明,以较高波动率(20个周期)为标准的依赖资产对交易形成的投资组合表现优异。与基于随机选择对的投资组合形成相比,投资组合的风险和回报比更好,可以通过夏普指数衡量投资组合的波动性获得的回报来证明这些发现是合理的。此外,研究结果还显示收益率与市场指数的相关性较低。因此,仅应用统计协整分析方法并不能保证得出与市场平均水平不同的结果。
Composition of portfolios by pairs trading with volatility criteria in the Brazilian market,
The objective of this study was to understand how the shares’ volatility affects the portfolios’ dynamics formed using the model of pairs trading in the Brazilian stock market. This article distinguished itself by bringing new evidence about the effects of volatility in the pairs trading model not covered by previous studies, expanding the sample size analyzed in the Brazilian stock market. The chosen theme’s relevance is that investors can use pairs trading or long-short models to build their portfolios. The use of cointegration concepts probabilistically contributes to portfolios’ formation weakly correlated to the market indexes with superior performance. This article impacts the area by contributing new evidence for better use of the model in the analysis of investments. From January 2016 to December 2018, the 90 most liquid assets of Bolsa, Brasil, Balcão (B3) were analyzed, totaling 5,927,400 possible pairs. The Augmented Dickey-Fuller test and subsequent backtesting of the pairs in the proposed period were used to evaluate the cointegration criteria. Statistical analysis was performed by parametric and non-parametric tests and Pearson and Spearman correlation analyses. The results found indicated that the formation of portfolios by pairs trading with dependent assets with the criterion of higher levels of volatility (20 periods) presented a superior performance. These findings can be justified by a better risk and return ratio for the portfolio, measured by the Sharpe Index of the returns obtained concerning the portfolio’s volatility, compared to a portfolio formation based on a random selection of the pairs. In addition, the results also showed a low correlation of returns concerning the market index. Therefore, the application of the statistical cointegration analysis methodology alone does not guarantee results that are different from the market average.
期刊介绍:
Revista Contabilidade & Finanças (RC&F) publishes inedited theoretical development papers and theoretical-empirical studies in Accounting, Controllership, Actuarial Sciences and Finance. The journal accepts research papers in different paradigms and using various research methods, provided that they are consistent and relevant for the development of these areas. Besides research papers, its main focus, traditional papers and manuscripts in other formats that can contribute to communicate new knowledge to the community are also published.