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El efecto día en la bolsa de valores de Colombia

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  • Alvaro Montenegro

Abstract

En los mercados bursátiles mundiales es frecuente encontrar algún grado de correlación entre los movimientos diarios en los precios de las acciones y el día de la semana en que ocurre dicho movimiento. Este es un indicio de ineficiencia ya que, según la hipótesis del mercado eficiente, los precios de las acciones son impredecibles a partir de un conjunto de información disponible. En este trabajo se explora la posibilidad del efecto día en el IGBC, tanto en el movimiento de precios como en su volatilidad. En ambos casos se encuentran efectos estadísticamente significativos.

Suggested Citation

  • Alvaro Montenegro, 2007. "El efecto día en la bolsa de valores de Colombia," Documentos de Economía 4447, Universidad Javeriana - Bogotá.
    • Handle: RePEc:col:000108:004447
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    File URL: http://www.javeriana.edu.co/fcea/area_economia/inv/documents/Elefectodiaenlabolsadevaloresdecolombia_000.pdf
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    Cited by:

    1. López Gaviria, José Ignacio, 2019. "Predictibilidad del mercado accionario colombiano," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 91, pages 117-150, July.
    2. José Ignacio López-Gaviria, 2019. "Colombia’s stock market predictability," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 91, pages 117-150, Julio - D.
    3. Héctor Darío Balseiro Barrios & Jorge Armando Luna Amador & Francisco Javier Maza Ávila, 2021. "Análisis de eficiencia financiera de las empresas cotizantes en el mercado accionario colombiano para el periodo 2012- 2017," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 13(1), pages 19-41, March.
    4. Lorenzo Zanello RIva, 2012. "El efecto día en cinco índices bursátiles de América Latina," Documentos Departamento de Economía 18081, Universidad del Norte.

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