Applied Financial Economics

The LogVOL coefficient (- 0,097880) in the function offers, (- 0,073039) in the function demand, indicates the elastic behavior in this relation. With this, we can affirm, together with the LogSt-1 0 variable to (- 1,149222) for offers (4578,464) for the demand and still Log (1/TICK) with (0,048207), that the equation indicates that the variations in prices are proporcionaiss variations in the amounts. On the other hand, the value of Log (1/TICK) inelstica indicarelao enters the variations of the prices and amounts. Therefore, the increase in the done business amounts less proportional refletecrescimento to the prices of the action-object, and all osmovimentos of the market, in day 13 of February of 2004, imediatamenteanterior proclamation to the expiration of contracts of options on action Telemar PN, notiveram the calls abnormal returns. 4. CONCLUSIONS On the basis of the results found in the previous item, can be concluded that at sight market, in day 13 of February of 2004, not foiafetado for the expiration of contracts of options, foreseen for the pregoseguinte (monday, 16 of February of 2004). Soon, effect was not observed ochamado expiration-day. Or, in the liguagem of mercadi financial, &#039 did not happen; ' guerra' ' between bought and vendidos in the market of options decompra of Telemar PN.

As the joined results allow conclusesdiferentes of those finding for Sanvicente and Monteiro (2005), reveal queos results of analyses of isolated events on the effect day-of-vencimentono can be generalized. What if it can infer of these resultadosdiscrepantes is that the Brazilian market, in what concerns to days of expiration deopes, oscillates between moments of efficiency and not efficiency. A study maisabrangente if makes necessary. BIBLIOGRAPHICAL REFERENCES WEDGE, J. OF; COAST JR.

N.C. OF. the Influence the ecausalidade enters the market of action and the market of options: revision deliteratura and new resulted. Magazine of Administration Contemporary, v. 10 (1), P. 31-54, 2006. KAN, B.C.N. Expiration-day effect: evidence from high-frequency dates in the Hong Kong stock market. Applied Financial Economics, 2001. KLEMKOSKY (1978) FAME, E. capital F.Efficient markets: review of theory and empirical work. Journal ofFinance, 1970. GUPTA., PUT, S., TRIVEDI, P. The effects of options expiration on NSE volume andprices. KRBES, P.J., Jr COAST, N.C. OF. Exists influence dovencimento of the options on the market the sight? In: LEMBRUBER, E.F.; IT HISSES, B.C. OF; LOYAL, R.P.C.; COAST Jr, N.C. OF. the Management of Risk eDerivativos: Applications in Brazil. So Paulo: Atlases, 2001. (ColeoCoppead) SANVICENTE. the Z. Effect of the expiration of options on ocomportamento of the market the sight. Magazine of IBMEC, ten. 1996. SANVICENTE. THE Z.; HUNTER, R. the war between bought evendidos in the market of options of purchase of the stock exchange of So Paulo. Revistade Administration (RAUSP), 2005. IT HISSES, M.A.V. OF. the Hypothesis of the Efficiency of the MercadoEncontra Some Anomalies. Article, 2003. STOLL, H.R., WHALEY, R.E. Expiration-day effects: what has changed? FinancialAnalysts Journal, vol. 47. jan-fev of 1991. 1 referring Acronym opo of purchase of the preferred stock of the Telemar, with price of equal exercise R$ 46,00 and expiration in the February month.

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