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Anomalías de calendario en los mercados accionarios latinoamericanos: una revisión mediante el procedimiento de Bonferroni

Author

Listed:
  • Rojas, Emilio
  • Kristjanpoller, Werner

Abstract

RESUMEN: En el presente artículo se corrigen los estudios tradicionales sobre las anomalías de calendario en los principales mercados accionarios latinoamericanos para el periodo comprendido entre los anos 1991 y 2013. Los índices bursátiles analizados son los de Argentina, Brasil, Chile, Colombia, México y Perú. Para el análisis se utilizan modelos econométricos de varianza heterocedástica complementados con pruebas de significancia, incluyendo la corrección de Bonferroni. Los resultados indican evidencia mixta de estas anomalías; mientras que, gracias a la corrección de Bonferroni, éstas desaparecen, tanto en la rentabilidad como en la volatilidad, para la mayoría de los países al final del periodo estudiado.

Suggested Citation

  • Rojas, Emilio & Kristjanpoller, Werner, 2014. "Anomalías de calendario en los mercados accionarios latinoamericanos: una revisión mediante el procedimiento de Bonferroni," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 81, pages 91-113, April.
    • Handle: RePEc:col:000174:014709
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    Citations

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    Cited by:

    1. Roberto Joaquín Santillán Salgado & Alejandro Fonseca Ramírez & Luis Nelson Romero, 2019. "The "day-of-the-week" effects in the exchange rate of Latin American currencies," 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. 14(PNEA), pages 485-507, Agosto 20.

    More about this item

    Keywords

    Efecto día de semana; efecto mes; mercados emergentes; corrección de Bonferroni; modelos autorregresivos heterocedásticos;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • 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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