Estratégia de arbitragem entre ações brasileiras e suas ADRs: a resposta dos dados intraday

This article seeks to identify if there are arbitrage opportunities between Brazilian companies' stocks listed on BOVESPA and theirs ADRs traded on NYSE. On a liquidity-based criterion, 24 stocks with 1-minute trading intervals price on a three-month period were selected. The t test was performed to verify if the absolute value of the differences in prices in "reais" of local stocks and theirs ADRs were in average statistically equals to zero. Furthermore, it was calculated what would be the maximum transaction costs for this strategy to remain profitable. In the sample, the highest maximum transaction cost was 0.53% for Gafisa and the lowest was 0.04% for Embraer. It was noticed that the pairs-trading strategy with stocks and ADRs can generate financial profits. It was observed that in less liquid stocks, the maximum transaction cost for the strategy to remain profitable was greater. [PUBLICATION ABSTRACT]