Examining the Impact of Ex-Dividend on Cash and Carry Spread Dynamics in Nifty 50 Stocks: An Event Study
DOI:
https://doi.org/10.21919/remef.v21i3.1378Palabras clave:
Ex dividendo, Estudio de eventos, Cash and Carry, Arbitraje, Nifty-50Resumen
Análisis del impacto del ex dividendo en la dinámica del diferencial de cash and carry en las acciones del índice Nifty 50: un estudio de eventos
Este estudio analiza el efecto de las fechas ex dividendo sobre los diferenciales de efectivo y carry de las empresas que integran el índice Nifty-50 de India durante el período 2009–2024. Mediante una metodología de estudio de eventos, se evalúan las oportunidades de arbitraje entre los mercados al contado y de futuros utilizando ventanas de análisis de 10 y 5 días previas a la fecha ex dividendo. Los resultados muestran que la identificación temprana de cambios en los diferenciales permite aprovechar oportunidades de arbitraje de corto plazo antes de la fecha ex dividendo. Los hallazgos aportan evidencia útil para inversionistas, gestores de cartera y arbitrajistas interesados en optimizar sus estrategias de negociación en mercados emergentes. Asimismo, el estudio amplía la literatura sobre los efectos ex dividendo al examinar su impacto en la dinámica de los diferenciales entre los mercados al contado y de futuros.
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