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Bibliographic Details
Main Author:	Alexandre Silva da Costa
Format:	Artículo científico
Language:	en
Published:	Universidade Federal de Santa Maria 2015
Subjects:	Administración y Contabilidad Volume Intraday Volatilidade Microestrutura de Mercado
Online Access:	https://www.redalyc.org/articulo.oa?id=273443310007
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Market microstructure – a high frequency analysis of volume and volatility intraday patterns across the brazilian stock market Alexandre Silva da Costa Paulo Sergio Ceretta Fernanda Maria Müller Administración y Contabilidad Volume Intraday Volatilidade Microestrutura de Mercado Neste estudo, investigamos a microestrutura de mercado, com dados de alta frequência, para todas as ações que participam do Ibovespa, tradicional e influente índice da América Latina. Embora a mi-croestrutura de mercado tenha sido amplamente investigada em mercados desenvolvidos, não há muitos estudos acerca de países em desenvolvimento, como o Brasil. Tendo isso em vista, modelamos a volatili-dade por meio de um método simples, usando o desvio padrão como proxy, e classificamos o volume de negociação de todas as ações do Ibovespa, em cada intervalo de 10 minutos dos pregões amostrados. Encontramos resultados semelhantes aos de investigações anteriores documentados na literatura finan-ceira, como o padrão em forma de L para a volatilidade e o em forma de U para o volume. Outro achado interessante é que, durante o tempo de negociação mais ativa (o intervalo que compreende o fechamen-to), há quedas de volatilidade, enquanto que, no segundo momento de negociação mais ativo (a abertura), há uma alta volatilidade. 2015 artículo científico 1983-4659 https://www.redalyc.org/articulo.oa?id=273443310007 en http://www.redalyc.org/revista.oa?id=2734 Revista de Administração da Universidade Federal de Santa Maria application/pdf Universidade Federal de Santa Maria Revista de Administração da Universidade Federal de Santa Maria (Brasil) Num.3 Vol.8

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