Anomalías en la autocorrelación de rendimientos y la importancia de los periodos de no transacción en mercados latinoamericanos

• Autores: Werner Kristjanpoller Rodríguez
• Localización: Contaduría y administración, ISSN 0186-1042, ISSN-e 2448-8410, Vol. 58, Nº. 1, 2013, págs. 37-62
• Idioma: español
• DOI: 10.1016/s0186-1042(13)71197-5
• Títulos paralelos:
  • Return autocorrelation anomalies and the importance of non-trading periods in the Latin Americans stocks markets
• Enlaces
  • Texto completo (pdf)
• Resumen
  • español

    Este artículo pretende determinar la existencia de autocorrelación de rendimientos en los principales mercados latinoamericanos y su relación con el efecto día de semana en ellos. Asimismo, se busca dimensionar la importancia de los periodos de no transacción y su incidencia en la rentabilidad de los mercados accionarios. Se puede concluir que existe autocorrelación en la mayoría de los mercados accionarios analizados, tanto en moneda local como en moneda global, junto al fenómeno de día de semana; además, se evidencia correlación entre las rentabilidades del periodo de transacción y la rentabilidad del periodo de no transacción.

  • English

    This paper aims to determine the evidence of returns autocorrelation for the main Latin American stock markets, and the influence of the day of the week effect on this phenomenon. Also, we analyze the importance of non-trading periods and their incidence on stock markets returns. We determine a high autocorrelation in most of the stock markets analyzed, both in local and global currency and the day-of-the-week effect on only some of the stock markets. Evidence of correlation between trading periods returns and those of non-trading periods is also found.

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