Advanced Search
MyIDEAS: Login to save this article or follow this journal

Estacionalidad en la Rentabilidad y Volatilidad de los Títulos que Cotizan en el LATIBEX

Contents:

Author Info

  • Octavio Maroto Santana

    ()
    (Universidad de las Palmas de Gran Canaria, Campus Universitario de Tafira)

  • Rosa María Cáceres Apolinario

    (Universidad de las Palmas de Gran Canaria, Campus Universitario de Tafira)

  • Lourdes Jordán Sales

    (Universidad de las Palmas de Gran Canaria, Campus Universitario de Tafira)

  • Alejandro Rodríguez Caro

    (Campus Universitario de Tafira, Las Palmas de Gran Canaria)

Abstract

Due to the growing importance that the economies of the main Latin American countries have been gaining, 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 is focussed on the search for anomalies referred to the seasonality of the markets. In this sense, we empirically contrast the day of the week effect on the financial assets which are quoted on the Latibex, focusing not only on return but on volatility as well. This paper makes use, for this particular purpose, of the conditional variance models T-ARCH and GARCH.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.csf.itesm.mx/egade/publicaciones/articulos/OMS.pdf
Download Restriction: no

Bibliographic Info

Article provided by Tecnológico de Monterrey, Campus Ciudad de México in its journal Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics).

Volume (Year): 1 (2007)
Issue (Month): 1 ()
Pages: 84-95

as in new window
Handle: RePEc:ega:rafega:200706

Contact details of provider:
Web page: http://www.ccm.itesm.mx/egap/
More information through EDIRC

Related research

Keywords: Latibex; GARCH; T-ARCH; Efecto día de la semana;

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ega:rafega:200706. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (José Antonio Núñez).

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.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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