IDEAS home Printed from https://ideas.repec.org/a/ega/rafega/200706.html
   My bibliography  Save this article

Estacionalidad en la rentabilidad y volatilidad de los títulos que cotizan en el LATIBEX

Author

Listed:
  • Octavio Maroto Santana

    (Universidad de las Palmas de Gran Canaria)

  • Rosa María Cáceres Apolinario

    (Universidad de las Palmas de Gran Canaria)

  • Lourdes Jordán Sales

    (Universidad de las Palmas de Gran Canaria)

  • Alejandro Rodríguez Caro

    (Campus Universitario de Tafira)

Abstract

Given the growing importance of the main Latin American economies, the Latibex was created in December 1999. It is an international market characterized for being the only one where exclusively Latin American financial assets are negotiated, using the platform of negotiation and liquidation of values of the Spanish Stock Market. The present paper focuses on seasonal anomalies of markets. In this sense, we empirically contrast the day of the week effect on the financial assets that are quoted on the Latibex and focus not only on the return but on the volatility as well. This paper uses for this purpose the conditional variance models T-ARCH and GARCH

Suggested Citation

  • Octavio Maroto Santana & Rosa María Cáceres Apolinario & Lourdes Jordán Sales & Alejandro Rodríguez Caro, 2007. "Estacionalidad en la rentabilidad y volatilidad de los títulos que cotizan en el LATIBEX," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 1(1), pages 84-95.
    • Handle: RePEc:ega:rafega:200706
    as

    Download full text from publisher

    File URL: http://alejandria.ccm.itesm.mx/egap/documentos/2007V1A6Maroto.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Latibex; GARCH; T-ARCH; Efecto día de la semana;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ega:rafega:200706. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: José Antonio Núñez (email available below). General contact details of provider: https://edirc.repec.org/data/emitemx.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.