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Efecto día en el mercado accionario Colombiano: Una aproximación no paramétrica

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Author Info

  • Jhonatan Pérez Villalobos

    ()

  • Juan Carlos Mendoza de Gutiérrez de Piñeres

    ()

Abstract

En el presente trabajo se muestra evidencia para rechazar la Hipótesis de Mercado Eficiente (HME) a través de la anomalía efecto día (day effect). Se utilizan dos aproximaciones: la primera, bajo el supuesto de normalidad, estima un modelo lineal que corrobora los hallazgos de estudios anteriores sobre un efecto significativo del día de la semana sobre el retorno. La segunda, felixibiliza el supuesto de normalidad aplicando pruebas no paramétricas, y confirma los resultados de la primera aproximación. Se utilizó el IGBC y una versión diversificada de éste, la cual responde a la alta concentración del índice en pocas acciones. Este documento corrobora los resultados de otras investigaciones basadas en métodos paramétricos, y adicionalmente, a partir de pruebas no paramétricas, muestra que existe un efecto día significativo.

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Bibliographic Info

Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 006700.

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Length: 18
Date of creation: 03 Feb 2010
Date of revision:
Handle: RePEc:col:000094:006700

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Related research

Keywords: Eficiencia de mercado; hipótesis de mercado eficiente; métodos no paramétricos; IGBC; retornos.;

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Cited by:
  1. Carlos León, 2012. "Implied probabilities of default from Colombian money market spreads: The Merton Model under equity market informational constraints," Borradores de Economia 743, Banco de la Republica de Colombia.

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