Relación precio-volumen mediante análisis de causalidad y efecto día de semana en los mercados accionarios latinoamericanos

Emilio Rojas, Werner Kristjanpoller

Resumen


El presente trabajo analiza la relación entre los retornos diarios de precios y el volumen de transacción mediante un análisis de causalidad de Granger y, adicionalmente, el efecto día de la semana en los mercados accionarios latinoamericanos para el período 1998-2014. Los índices bursátiles analizados son los de Argentina, Brasil, Chile, Colombia, México y Perú. Este estudio utiliza modelos de varianza heterocedástica y vectores autorregresivos (VAR). Los resultados indican la presencia de un fuerte efecto día de semana en el volumen, así como evidencia de causalidad de los retornos de los índices sobre la variación del volumen de transacción para la mayoría de los mercados analizados.


Palabras clave


relación precio-volumen, efecto día de la semana, mercados emergentes, causalidad de Granger.

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DOI: https://doi.org/10.17533/udea.le.n83a01 Resumen : 448 PDF : 860 HTML : 3263

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