LOCAL CORRELATIONS BETWEEN PRICING DEVIATION AND MARKET PROXY OF BRAZILIAN ETFs
DOI:
https://doi.org/10.22410/issn.1983-036X.v23i2a2016.1081Palavras-chave:
Brazilian ETFs, Pricing Deviation, Local Correlation.Resumo
The Exchange Traded Funds (ETFs) have become a wide-spread investment vehicle with unique characteristics that have not been sufficiently studied yet, especially when it comes to emerging markets ETFs. Moreover, consolidated asset pricing models are not enough to analyze the dynamics of a kind of fund that adds a different dimension in relation to conventional investment funds: the variation of share prices. The difference between share prices and their net asset values (NAVs) is called pricing deviation. The goal of this paper is to verify if Brazilian ETFs pricing deviation depends on market returns and if this relationship presents differences according to market situations, before and after the European debt crisis. With the local correlation approach, our results pointed to the fact that the correlation between pricing deviation and the market return is much higher in extreme points and it becomes even higher after the beginning of the Eurozone debt crisis.Downloads
Publicado
22-12-2016
Como Citar
MILANI, Bruno; CERETTA, Paulo Sergio. LOCAL CORRELATIONS BETWEEN PRICING DEVIATION AND MARKET PROXY OF BRAZILIAN ETFs. Revista Estudo & Debate, [S. l.], v. 23, n. 2, 2016. DOI: 10.22410/issn.1983-036X.v23i2a2016.1081. Disponível em: https://univates.br/revistas/index.php/estudoedebate/article/view/1081. Acesso em: 25 dez. 2024.
Edição
Seção
Artigos
Licença
Copyright (c) 2016 Bruno Milani, Paulo Sergio Ceretta
Este trabalho está licenciado sob uma licença Creative Commons Attribution-NonCommercial 4.0 International License.