Trabalho de Conclusão de Curso de Graduação
Eficiência de mercado: evidências a partir do Google Trends e algoritmos de trading
Fecha
2021-01-29Autor
Pereira, Mateus Machado de
Institución
Resumen
Information is one of the most studied topics in the economy and finance, therefore, this work
analysis the relationship between Ibovespa, amount traded and a proxy about investor attention
in the period between 2016 and 2020. The present work innovates when using a new methodology to elaborate the proxy demand for information or investor attention by using Principal
Component Analysis (ACP) in several tickers researched in Google Trends. From that, this
work analyzes the relationship of this proxy and the value of the Ibovespa and the amount traded of Ibovespa by an VEC-VAR methodology and the elaboration of an trading strategy. Still,
the market shows an efficient behavior in most of the analyzed period, so the trading algorithm
has a lower performance than the market return in that period, however for the period that refers
to the pandemic, the behavior shows a different behavior from what is characterized efficient, in
this period the algorithm surpassed the return to the market, indicating that strategies developed
from quantitative methods are indicated in periods of uncertainty and panic.