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El efecto día en cinco índices bursátiles de América Latina

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  • Lorenzo Zanello RIva

Abstract

El efecto día de la semana representa una inconsistencia con la hipótesis de mercado eficiente planteada por Fama (1965), al correlacionar el comportamiento de los índices bursátiles con el ciclo semanal. Mediante una metodología de estadísticas descriptivas y dos modelos de variables instrumentales se detectó la presencia del efecto día para los índices bursátiles de Argentina (MERVAL), Brasil (BOVESPA), Chile (IPSA), Colombia (IGBC) y México (IPC), entre enero 01 de 2003 y agosto 31 de 2010. Uno de los modelos se aplicó a cinco dummies, una por cada día de la semana sin intercepto, el otro modelo se trabajó con una sola dummy y con intercepto. Además, se encontró que el efecto día de la semana presenta diferentes ciclos y magnitudes para los índices analizados, la mayoría de éstos exhibieron una disminución promedio los días lunes y una mayor ganancia promedio los viernes; a excepción del IPC que presentó su máxima valorización promedio el día miércoles.

Suggested Citation

  • Lorenzo Zanello RIva, 2012. "El efecto día en cinco índices bursátiles de América Latina," Documentos Departamento de Economía 18081, Universidad del Norte.
    • Handle: RePEc:col:000383:018081
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    References listed on IDEAS

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