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Efectos estacionales en los mercados de capitales de la Alianza del Pacífico

Author

Listed:
  • John Rosso
  • David Arbeláez García

Abstract

Este documento tiene por objetivo probar la existencia de los efectos estacionales del día de la semana, mes del a˜no, cambio de mes, fin de diciembre y superstición en los mercados de capitales de la Alianza del Pacífico durante el período 2002-2014. Para esto se emplea una metodología econométrica de estadísticos tradicionales y no paramétricos. Se pudo concluir que existe un efecto día de la semana para los mercados chileno, colombiano y peruano, el cual se comporta, en general, como lo sugiere la literatura, y un efecto cambio de mes para los mercados mexicano y peruano, que se comporta según lo sugerido por la literatura. No se detectó ningún efecto mes del a˜no, fin de diciembre o superstición

Suggested Citation

  • John Rosso & David Arbeláez García, 2016. "Efectos estacionales en los mercados de capitales de la Alianza del Pacífico," Estudios Gerenciales, Universidad Icesi, vol. 32(141), pages 358-368, December.
    • Handle: RePEc:col:000129:015387
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    File URL: http://www.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/2329/pdf
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    Citations

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    Cited by:

    1. Domingo Rodríguez Benavides & César Gurrola Ríos & Francisco López Herrera, 2021. "Dependencia de los mercados de valores de Argentina, Brasil y México respecto del estadounidense: Covid19 y otras crisis financieras recientes," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(3), pages 1-18, Julio - S.
    2. Cardona Montoya, Juan Camilo, 2024. "La integración del mercado bursátil latinoamericano: Una revisión sistemática de la literatura," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 16(2), pages 317-354, July.

    More about this item

    Keywords

    Alianza del Pacífico; Integración económica; Eficiencia de mercados; Efectos estacionales; Mercado de capitales;
    All these keywords.

    JEL classification:

    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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