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

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  • Kristjanpoller Rodríguez Werner

    ()
    (Universidad Técnica Federico Santa María)

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    Abstract

    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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    Bibliographic Info

    Article provided by Accounting and Management: International Journal in its journal Contaduría y Administración.

    Volume (Year): 58 (2013)
    Issue (Month): 1 (enero-marzo)
    Pages: 37-62

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    Handle: RePEc:nax:conyad:v:58:y:2013:i:1:p:37-62

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    Related research

    Keywords: autocorrelación de rendimientos; mercados emergentes; periodos de no transacción;

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    1. Grossman, Sanford J & Stiglitz, Joseph E, 1980. "On the Impossibility of Informationally Efficient Markets," American Economic Review, American Economic Association, American Economic Association, vol. 70(3), pages 393-408, June.
    2. M. J. Fields, 1931. "Stock Prices: A Problem in Verification," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 4, pages 415.
    3. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, Econometric Society, vol. 53(6), pages 1315-35, November.
    4. Tsiakas, Ilias, 2008. "Overnight information and stochastic volatility: A study of European and US stock exchanges," Journal of Banking & Finance, Elsevier, Elsevier, vol. 32(2), pages 251-268, February.
    5. Chan, Kalok, 1993. " Imperfect Information and Cross-Autocorrelation among Stock Prices," Journal of Finance, American Finance Association, American Finance Association, vol. 48(4), pages 1211-30, September.
    6. Lakonishok, Josef & Levi, Maurice, 1982. " Weekend Effects on Stock Returns: A Note," Journal of Finance, American Finance Association, American Finance Association, vol. 37(3), pages 883-89, June.
    7. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, Elsevier, vol. 8(1), pages 55-69, March.
    8. Admati, Anat R & Pfleiderer, Paul, 1989. "Divide and Conquer: A Theory of Intraday and Day-of-the-Week Mean Effects," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 2(2), pages 189-223.
    9. Chris Brooks & Gita Persand, 2001. "Seasonality in Southeast Asian stock markets: some new evidence on day-of-the-week effects," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 8(3), pages 155-158.
    10. Amelie Charles, 2010. "Does the day-of-the-week effect on volatility improve the volatility forecasts?," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 17(3), pages 257-262.
    11. Kiymaz, Halil & Berument, Hakan, 2003. "The day of the week effect on stock market volatility and volume: International evidence," Review of Financial Economics, Elsevier, Elsevier, vol. 12(4), pages 363-380.
    12. Oldfield, George S, Jr & Rogalski, Richard J, 1980. " A Theory of Common Stock Returns over Trading and Non-Trading Periods," Journal of Finance, American Finance Association, American Finance Association, vol. 35(3), pages 729-51, June.
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