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A 10 min tick volatility analysis between the Ibovespa and the S&P500

Author

Listed:
  • Paulo Sergio Ceretta

    (UFSM)

  • Alexandre Silva da Costa

    (UFSM)

  • Marcelo Brutti Righi

    (UFSM)

  • Fernanda Maria Müller

    (Federal University of Santa Maria)

Abstract

In this paper we analyze intraday data on a 10-minute interval and compared the major market index in South America, the Ibovespa and sync up with the S&P500 in New York. The main target is to determine differences of volatility, in the Brazilian index, before and after the opening bell in New York. To reach this goal, we utilize the GARCH (autoregressive general heteroskedasticity) matching up times that both markets were open, and comparing to the hours that the Brazilian index was trading alone, without the direct influence of one of the American main indexes, the S&P500. As a result, we are able to disclose that this difference in volatility exists.

Suggested Citation

  • Paulo Sergio Ceretta & Alexandre Silva da Costa & Marcelo Brutti Righi & Fernanda Maria Müller, 2013. "A 10 min tick volatility analysis between the Ibovespa and the S&P500," Economics Bulletin, AccessEcon, vol. 33(3), pages 2169-2176.
    • Handle: RePEc:ebl:ecbull:eb-13-00459
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    GARCH; intraday; volatility.;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G0 - Financial Economics - - General

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