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The "day-of-the-week" effects in the exchange rate of Latin American currencies

Author

Listed:
  • Roberto Joaquín Santillán Salgado

    (EGADE Business School, Mexico)

  • Alejandro Fonseca Ramírez

    (EGADE Business School, Mexico)

  • Luis Nelson Romero

    (Rockford University, USA)

Abstract

Este artículo examina la anomalía del "día de la semana" en los mercados de divisas de las monedas de los seis principales países latinoamericanos (Argentina, Brasil, Chile, Colombia, México y Perú), todas con respecto al dólar de los Estados Unidos. Los rendimientos de las tasas de cambio son estacionarios, por lo que utilizamos regresiones lineales combinadas con modelos GARCH, TARCH y EGARCH, para explorar la presencia de la anomalía del "día de la semana". Los resultados confirman la presencia de efectos "anormales" en algunas de las divisas y en ciertos días de la semana, particularmente los viernes y los lunes. Además, la volatilidad en los tipos de cambio muestra un comportamiento de agrupamiento, así como efectos de apalancamiento, los cuales son cuidadosamente modelados en nuestro análisis. Este trabajo contribuye a la literatura al estudiar el efecto "día de la semana" en el mercado de tipos de cambio de moneda, una clara innovación con respecto al típico análisis del mercado accionario. Los resultados reportados son de utilidad para los corredores de tipo de cambio, los administradores de riesgo cambiario, las autoridades monetarias, y los diseñadores de política financiera de los países incluidos en el estudio. Efectivamente, los resultados sugieren la presencia de una conducta típica del tipo de cambio en todas las monedas incluidas en la muestra.

Suggested Citation

  • Roberto Joaquín Santillán Salgado & Alejandro Fonseca Ramírez & Luis Nelson Romero, 2019. "The "day-of-the-week" effects in the exchange rate of Latin American currencies," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(PNEA), pages 485-507, Agosto 20.
    • Handle: RePEc:imx:journl:v:14:y:2019:i:pnea:p:485-507
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    More about this item

    Keywords

    Efecto día de la semana; mercado cambiario; Latinoamérica; Eficiencia de Mercado; GARCH; EGARCH; TARCH;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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