Please use this identifier to cite or link to this item:
|Bonomo, Marco Antonio Cesar
|Barbosa, Gustavo Soares
|Keywords in original language :
Brazilian Options Market
|The main goal of this thesis is to study the dispersion trading strategy applied for the Brazilian options equity market. Some studies for developed markets show that implied correlation tends to be priced higher than the realized correlation. In order to verify and capture this di erence, dispersion trading strategy can be used to trade index volatility versus the volatility of its components. Brazilian options market does not present enough liquidity to trade stock options in all index components. Given that, an index tracking approach is presented to create an index proxy that tries to replicate the index return with a small subset of components. This thesis explores multi-period strategies and di erent compositions for the index proxy portfolio in order to verify if the strategy is consistent. The results provide strong evidence that dispersion trading is feasible to be im- plemented, being pro table even with positive transaction costs.
|Appears in Collections:
|Mestrado Profissional em Economia
Files in This Item:
|Marcio Alexandre Marar Moreno_Trabalho.pdf
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