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Volume and Skewness Analysis in the Major Latin American Stock Markets

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  • Werner Kristjanpoller
  • Víctor Caballero
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    Abstract

    The main objective of this article is to study the relation between volumes and return asymmetries for most of the Latin American Stock Markets, including Argentina, Brazil, Chile, Colombia, Mexico and Peru. The selected methodology for this study considers the first three moments of operational volume and market returns following Hutson et al. (2008). The results include the identification of a statistically significant relation between transaction volumes and return asymmetries for the Mexican, Brazilian, Chilean, Colombian, and Argentine stock markets. This finding, however, is not conclusive for the Peruvian stock market.

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    File URL: http://aprendeenlinea.udea.edu.co/revistas/index.php/lecturasdeeconomia/article/view/12813/11544
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    Bibliographic Info

    Article provided by Universidad de Antioquia, Departamento de Economía in its journal LECTURAS DE ECONOMÍA.

    Volume (Year): (2012)
    Issue (Month): 76 ()
    Pages: 119-141

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    Handle: RePEc:lde:journl:y:2012:i:76:p:119-141

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    Web page: http://economia.udea.edu.co
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    Postal: Lecturas de Economía, Departamento de Economía, Calle 67, 53-108, Medellin 050010, Colombia.

    Related research

    Keywords: Asymmetry; emerging markets; transaction volume; volatility;

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