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Modelacion del efecto del día de la semana para los índices accionarios de Colombia mediante un modelo STAR GARCH


  • David Mauricio Rivera Palacio



En este trabajo se estudia el comportamiento de los retornos delos tres principales índices bursátiles de Colombia: el IBB de la Bolsa de Bogotá, el IBOMED de la Bolsa de Medellín, y el IGBC de Bolsa de Valores deColombia. A través de un modelo STAR GARCH se identifican dos estados oregímenes extremos; mientras en el primero los rendimientos de los índices son,en términos absolutos, bajos y los procesos son estacionarios, en el segundo setienen grandes pérdidas o ganancias, donde los efectos de los choques son permanentes.Aunque en cada uno de los regimenes el efecto del día de la semana es diferente, los resultados indican que para los tres índices existe un efectodel día de la semana en la media, y un efecto del día en la varianza para laBolsa de Bogotá y Bolsa de Valores de Colombia. Los resultados contradicenla hipótesis de un mercado de acciones eficiente en información.**This document analyzes the behavior of the three Colombian stockmarket indexes: IBB Bogota's stock market, Medellin's IBOMED and theIGBC National Stock Market. By using a STAR GARCH model we identifytwo extreme estates / regimes, the first one showing low returns (on absoluteterms) and stationary processes, and a second estate featuring either big bene-ts or losses and permanent efects of shocks. Although the Day of the WeekEfect is diferent for each one of the indexes, for all of them there seems tobe a mean specifc efect and a variance efect for both the National and Bogota's Stock Markets.The results allow rejecting an information efcient stockmarket hypothesis.

Suggested Citation

  • David Mauricio Rivera Palacio, 2009. "Modelacion del efecto del día de la semana para los índices accionarios de Colombia mediante un modelo STAR GARCH," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO, May.
  • Handle: RePEc:col:000151:006238

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    References listed on IDEAS

    1. Barone, E., 1990. "The italian stock market : Efficiency and calendar anomalies," Journal of Banking & Finance, Elsevier, vol. 14(2-3), pages 483-510, August.
    2. repec:bla:joares:v:6:y:1968:i:2:p:159-178 is not listed on IDEAS
    3. Luis Eduardo Arango & Andrés González & Carlos Esteban Posada, 2001. "Returns and Interest Rate: A Nonlinear Relationship in the Bogotá Stock Market," Borradores de Economia 169, Banco de la Republica de Colombia.
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    More about this item


    efecto del día de la semana; modelos STAR-GARCH; economías emergentes; volatilidad.**Day of the Week E ect; STAR-GARCH models; emerging markets; volatility;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates


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