Anomalías en la autocorrelación de rendimientos y la importancia de los periodos de no transacción en mercados latinoamericanos
AbstractThis 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 InfoArticle provided by Accounting and Management: International Journal in its journal Contaduría y Administración.
Volume (Year): 58 (2013)
Issue (Month): 1 (enero-marzo)
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autocorrelación de rendimientos; mercados emergentes; periodos de no transacción;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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