EconPapers    
Economics at your fingertips  
 

Avaliando a Volatilidade Diária dos Ativos: a hora da negociação importa?

José Vicente, Gustavo Araujo (), Paula Castro and Felipe Tavares

No 297, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: The aim of this study is to examine whether investors who trade daily but at different times have distinct perceptions about the risk of an asset. In order to capture the uncertainty faced by these investors, we define the volatility perceived by investors as the distribution of standard deviations of daily returns calculated from intraday prices collected randomly. We find that this distribution has a high degree of dispersion. This means that different investors may not share the same opinion regarding the variability of returns of the same asset. Moreover, the close-to-close volatility is often less than the median of the volatility distribution perceived by investors while the open-to-open volatility is greater than that statistic. From a practical point of view, our results indicate that volatilities estimated using traditional samples of daily returns (i.e., close-to-close and open-to-open returns) may not do a good job when used as input in financial models since they may not properly capture the risk investors are exposed.

Date: 2012-11
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.bcb.gov.br/pec/wps/port/wps297.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bcb:wpaper:297

Access Statistics for this paper

More papers in Working Papers Series from Central Bank of Brazil, Research Department
Bibliographic data for series maintained by Rodrigo Barbone Gonzalez ().

 
Page updated 2022-05-30
Handle: RePEc:bcb:wpaper:297