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Modelacion del efecto del día de la semana para los índices accionarios de Colombia mediante un modelo STAR GARCH


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  • David Mauricio Rivera Palacio


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    En este trabajo se estudia el comportamiento de los retornos de los tres principales índices bursátiles de Colombia: el IBB de la Bolsa de Bogotá, el IBOMED de la Bolsa de Medellín, y el IGBC de Bolsa de Valores de Colombia. A través de un modelo STAR GARCH se identifican dos estados o regímenes extremos; mientras en el primero los rendimientos de los índices son, en términos absolutos, bajos y los procesos son estacionarios, en el segundo se tienen grandes pérdidas o ganancias, donde los efectos de los choques son permanentes. Aunque en cada uno de los regimenes el efecto del día de la semana es diferente, los resultados indican que para los tres índices existe un efecto del día de la semana en la media, y un efecto del día en la varianza para la Bolsa de Bogotá y Bolsa de Valores de Colombia. Los resultados contradicen la hipótesis de un mercado de acciones eficiente en información. ** This document analyzes the behavior of the three Colombian stock market indexes: IBB Bogota's stock market, Medellin's IBOMED and the IGBC National Stock Market. By using a STAR GARCH model we identify two extreme estates / regimes, the first one showing low returns (on absolute terms) and stationary processes, and a second estate featuring either big bene- ts or losses and permanent efects of shocks. Although the Day of the Week Efect is diferent for each one of the indexes, for all of them there seems to be a mean specifc efect and a variance efect for both the National and Bogota's Stock Markets.The results allow rejecting an information efcient stock market hypothesis.

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    Volume (Year): (2009)
    Issue (Month): ()

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    Handle: RePEc:col:000151:006238

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    1. Luis Eduardo Arango & Andrés González & Carlos Esteban Posada, 2001. "Returns And Interest Rate: A Nonlinear Relationship In The Bogota Stock Market," BORRADORES DE ECONOMIA 003468, BANCO DE LA REPÚBLICA.
    2. Barone, E., 1990. "The italian stock market : Efficiency and calendar anomalies," Journal of Banking & Finance, Elsevier, vol. 14(2-3), pages 483-510, August.
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