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Efectos de la Negociación Asincrónica en el Mercado de Acciones de México

Author

Listed:
  • Nicolás Chávez Monroy

    (Tecnológico de Monterrey)

  • Alejandro Segundo Valdés

    (Universidad Autónoma Metropolitana)

Abstract

This study presents an empirical research on asynchronous negotiation between equal-weighted portfolios. It uses daily information on the Mexican Stock Exchange and it shows that there is some degree of short-term prediction on the yields of the portfolio after analyzing the autocorrelation and cross correlation between them

Suggested Citation

  • Nicolás Chávez Monroy & Alejandro Segundo Valdés, 2009. "Efectos de la Negociación Asincrónica en el Mercado de Acciones de México," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 3(2), pages 25-39.
    • Handle: RePEc:ega:rafega:200908
    as

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    File URL: http://alejandria.ccm.itesm.mx/egap/documentos/2009V3A8Chaves-Segundo.pdf
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    References listed on IDEAS

    as
    1. Madhavan, Ananth, 2000. "Market microstructure: A survey," Journal of Financial Markets, Elsevier, vol. 3(3), pages 205-258, August.
    2. Boudoukh, Jacob & Richardson, Matthew P & Whitelaw, Robert F, 1994. "A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns," The Review of Financial Studies, Society for Financial Studies, vol. 7(3), pages 539-573.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    negociación asincrónica; rendimiento; autocorrelación; correlación cruzada;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • N26 - Economic History - - Financial Markets and Institutions - - - Latin America; Caribbean

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