CO-SKEWNESS AND CO-KURTOSIS IN THE ANALYSIS OF STOCK PRICING AT IBOVESPA

Authors

  • Alexandre Silva de Oliveira Centro Universitário Franciscano - UNIFRA
  • Luis Felipe Dias Lopes Universidade Federal de Santa Maria - UFSM
  • Eduardo Botti Abbade Centro Universitário Franciscano - UNIFRA

DOI:

https://doi.org/10.5902/198346592502

Abstract

The central issue of this research is to investigate and measuring the stock price in the brazilian financial market. It was investigate the influence of the third and fourth time in the pricing of assets, the influence of co-skewness in correlation with the proxy IBOV stocks, the influence of co-kurtosis in correlation with the proxy IBOV stocks, the influence of co-skewness and co-kurtosis in the correlation between the proxy IBOV and stocks, its performance compared with the CAPM and the increase of the accuracy. Is was developed literature research and study of time series of the stocks that constitutes the Ibovespa index on 30 May 2008, analyzed with the use of multiple regressions with the variables to systematic volatility, the systematic skewness and systematic kurtosis. As a result it was observed conclusively that co-skewness and co-kurtosis do not improve the performance of the model of pricing of assets.

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Author Biographies

Alexandre Silva de Oliveira, Centro Universitário Franciscano - UNIFRA

Doutor em Engenharia Ambiental pela Universidade Federal de Santa Maria.

Luis Felipe Dias Lopes, Universidade Federal de Santa Maria - UFSM

Universidade Federal de Santa Maria. Doutor em Engenharia de Produção pela Universidade Federal de Santa Catarina.

Eduardo Botti Abbade, Centro Universitário Franciscano - UNIFRA

 Mestre em Administração pela Universidade Federal do Paraná. E-mail:

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Published

2011-01-27

How to Cite

Oliveira, A. S. de, Lopes, L. F. D., & Abbade, E. B. (2011). CO-SKEWNESS AND CO-KURTOSIS IN THE ANALYSIS OF STOCK PRICING AT IBOVESPA. Revista De Administração Da UFSM, 3(3), 326–345. https://doi.org/10.5902/198346592502

Issue

Vol. 3 No. 3 (2010): Set-Dez

Section

Articles

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Authors of articles published by ReA/UFSM retain the copyright of their works, licensing them under the Creative Commons (CC-BY 4.0), which allows articles to be reused and distributed without restriction, provided that the original work is properly cited.

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