No linealidad y asimetría en el proceso generador del Índice Ibex35/Nonlinearity and Asymmetry in the Generator Process of Ibex35 Index
AbstractEl trabajo analiza el comportamiento del Ibex35, durante el período que abarca desde enero de 1999 a diciem¬bre de 2011, con el objetivo de comprobar si sigue un proceso diferente al paseo aleatorio, de tal forma que su rendimiento no se caracteriza por ser ruido blanco y resulta, en contra de lo que implica la hipótesis de los mercados eficientes, predecible. Para ello se va a tener en cuenta la posibilidad de que el proceso generador del rendimiento sea no lineal y se va a especificar un modelo STAR-APARCH, que permite un comporta¬miento no lineal, tanto de la media como de la varianza condicional. Los resultados empíricos evidencian que el comportamiento del Ibex35 sigue un proceso no lineal y asimétrico, tanto en la media como en la varianza condicional, rechazándose el cumplimiento de la versión débil de la hipótesis de los mercados eficientes. This paper analyzes the behaviour of Ibex35 from January 1999 to December 2001, in order to check if it follows a different process from random walk so its return is not a white noise and it can be predictable, against the efficient market hypothesis. For that, a nonlinear generating process of return will be considered and a STAR-APARCH model will be specified. This model allows a nonlinear behaviour in the conditional mean and in the conditional variance. The empirical results show that the Ibex35 follows a nonlinear and asymmetric process, both in the conditional mean as in the conditional variance, so the weak-version of efficient market hypothesis is rejected.
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Bibliographic InfoArticle provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.
Volume (Year): 31 (2013)
Issue (Month): (Septiembre)
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Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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