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Prueba de sesgo sobre rendimientos financieros en el mercado colombiano

Author

Listed:
  • Valencia, Marisol
  • Bedoya, Alejandro

Abstract

RESUMEN: La caracterización de los rendimientos financieros depende, en gran medida, de su comportamiento probabilístico, el cual puede ser mal ajustado, conduciendo así a malas decisiones económicas relacionadas con valoración de activos, asignación de cartera y/o medición del riesgo de mercado. En este trabajo se propone una prueba que permita determinar el ajuste de los rendimientos del Índice General de la Bolsa de Valores de Colombia (IGBC) a las siguientes distribuciones: Normal, Normal Sesgada y T Sesgada. Además, se mide el nivel de sesgo y se compara el desempeno de la prueba propuesta con otra prueba existente, usada únicamente para la detección de asimetría. Se encuentra que la prueba propuesta permite caracterizar los rendimientos del mercado de valores colombiano con una de las distribuciones de probabilidad, a diferencia de la otra prueba, que sólo advierte sobre la existencia de sesgo y no establece la distribución que representa su comportamiento.

Suggested Citation

  • Valencia, Marisol & Bedoya, Alejandro, 2013. "Prueba de sesgo sobre rendimientos financieros en el mercado colombiano," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 80, pages 79-102, November.
    • Handle: RePEc:col:000174:014723
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    References listed on IDEAS

    as
    1. Carlos León & Francisco Vivas, 2010. "Dependencia de largo plazo y la regla de la raíz del tiempo para escalar la volatilidad en el mercado colombiano," Borradores de Economia 7011, Banco de la Republica.
    2. Francesco Lisi, 2007. "Testing asymmetry in financial time series," Quantitative Finance, Taylor & Francis Journals, vol. 7(6), pages 687-696.
    3. A. Azzalini & A. Capitanio, 1999. "Statistical applications of the multivariate skew normal distribution," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(3), pages 579-602.
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    More about this item

    Keywords

    Decisiones de Inversión; Economía Financiera; Distribuciones Específicas; Comportamiento Financiero;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • P34 - Political Economy and Comparative Economic Systems - - Socialist Institutions and Their Transitions - - - Finance
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles

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