Volumen y autocovarianza para retornos accionarios de corto plazo en Brasil: 1990 a 1999

2004. Latin American Business Review. Vol. 5, N° 3, Pp 91 - 108

Franco Parisi F, Alexander Seelenberger , Antonino Parisi F

Abstract:

The objective of this article is to study the autocovariance in price and volume that allows for predicting short-term returns for stocks on the Brazilian stock market. Based on the evidence compiled and the specific characteristics of the Brazilian stock market, it is expected that low trading volume “winner” and “loser” stocks will present positive autocovariances in their short-term returns. Likewise, we expect to observe a negative autocovariance in the price of the securities for high-volume “loser” stocks but not for “winner” stocks, which present a high transaction volume due to the strong presence of institutional investors in the Brazilian stock market, a result expected according to Parisi and Acevedo (2001). Our results show that the autocovariance of securities with high and low transaction levels differ as much in sign as in magnitude. Specifically, low transaction level winner stocks (W, L) do not experience reversals in prices presenting positive autoco variances in their returns. As for the high trading volume winner stocks (W, H), our results differ from the international evidence. When we analyzed the results obtained with portfolios composed of low-volume loser stocks, we observed positive autocovariances in the returns. Such did not occur, however, for the portfolio of high-volume loser stocks. For these, our study arrived at results differing from what was predicted by the international evidence.

Palabras claves: Winner and loser stocks, autocovariance, Brazilian stock market

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