Estacionalidad en la Rentabilidad y Volatilidad de los Títulos que Cotizan en el LATIBEX
Due to the growing importance that the economies of the main Latin American countries have been gaining, 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 is focussed on the search for anomalies referred to the seasonality of the markets. In this sense, we empirically contrast the day of the week effect on the financial assets which are quoted on the Latibex, focusing not only on return but on volatility as well. This paper makes use, for this particular purpose, of the conditional variance models T-ARCH and GARCH.
Volume (Year): 1 (2007)
Issue (Month): 1 ()
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