文章基本信息

标题：Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange
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作者：Fernandes, Marcelo ; Rocha, Marco Aurélio dos Santos
期刊名称：Ensaios Econômicos EPGE
印刷版ISSN：0104-8910
电子版ISSN：0104-8910
出版年度：2006
卷号：2006
期号：nov
出版社：Fundação Getulio Vargas, Escola de Pós-Graduação em Economia
摘要：This paper investigates the impact of price limits on the Brazilian futures markets using high frequency data. The aim is to identify whether there is a cool-o. or a magnet e.ect. For that purpose, we examine a tick-by-tick data set that includes all contracts on the S~ao Paulo stock index futures traded on the Brazilian Mercantile and Futures Exchange from January 1997 to December 1999. The results indicate that the conditional mean features a ¡ãoor cool-o. e.ect, whereas the conditional variance signi¡¥cantly increases as the price approaches the upper limit. We then build a trading strategy that accounts for the cool-o. e.ect in the conditional mean so as to demonstrate that the latter has not only statistical, but also economic signi¡¥cance. The in-sample Sharpe ratio indeed is way superior to the buy-and-hold benchmarks we consider, whereas out-of-sample results evince similar performances.
关键词：cool-o. e.ect, futures markets, magnet e.ect, price limits, transactions data.