Estacionalidad en la rentabilidad y volatilidad de los títulos que cotizan en el LATIBEX
Given the growing importance of the main Latin American economies, the Latibex was created in December 1999. It is an international market characterized for being the only one where exclusively Latin American financial assets are negotiated, using the platform of negotiation and liquidation of values of the Spanish Stock Market. The present paper focuses on seasonal anomalies of markets. In this sense, we empirically contrast the day of the week effect on the financial assets that are quoted on the Latibex and focus not only on the return but on the volatility as well. This paper uses for this purpose the conditional variance models T-ARCH and GARCH
Volume (Year): 1 (2007)
Issue (Month): 1 ()
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