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Volume and Skewness Analysis in the Major Latin American Stock Markets


  • Werner Kristjanpoller
  • Víctor Caballero


The main objective of this article is to study the relation between volumes and return asymmetries for most of the Latin American Stock Markets, including Argentina, Brazil, Chile, Colombia, Mexico and Peru. The selected methodology for this study considers the first three moments of operational volume and market returns following Hutson et al. (2008). The results include the identification of a statistically significant relation between transaction volumes and return asymmetries for the Mexican, Brazilian, Chilean, Colombian, and Argentine stock markets. This finding, however, is not conclusive for the Peruvian stock market.

Suggested Citation

  • Werner Kristjanpoller & Víctor Caballero, 2012. "Volume and Skewness Analysis in the Major Latin American Stock Markets," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 76, pages 119-141.
  • Handle: RePEc:lde:journl:y:2012:i:76:p:119-141

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    References listed on IDEAS

    1. Alejandro Hoyos & Ximena Peña & Hugo R. Ñopo, 2010. "The Persistent Gender Earnings Gap in Colombia, 1994-2006," IDB Publications (Working Papers) 1802, Inter-American Development Bank.
    2. Machin, Stephen & Puhani, Patrick A., 2003. "Subject of degree and the gender wage differential: evidence from the UK and Germany," Economics Letters, Elsevier, vol. 79(3), pages 393-400, June.
    3. Luis Eduardo Arango & Nataly Obando & Carlos Esteban Posada, 2010. "Sensibilidad de los salarios al desempleo regional en Colombia: nuevas estimaciones de la curva de salarios," BORRADORES DE ECONOMIA 006829, BANCO DE LA REPÚBLICA.
    4. Luis Eduardo Arango & Monica Alexandra Gómez & Carlos Esteban Posada, 2009. "La demanda de trabajo formal en Colombia: determinantes e implicaciones de política," Borradores de Economia 563, Banco de la Republica de Colombia.
    5. Linda Datcher Loury, 1997. "The Gender Earnings Gap among College-Educated Workers," ILR Review, Cornell University, ILR School, vol. 50(4), pages 580-593, July.
    6. Luis Eduardo Arango & Carlos Esteban Posada, 2001. "El Desempleo en Colombia," Borradores de Economia 176, Banco de la Republica de Colombia.
    7. Light, Audrey & Ureta, Manuelita, 1995. "Early-Career Work Experience and Gender Wage Differentials," Journal of Labor Economics, University of Chicago Press, vol. 13(1), pages 121-154, January.
    8. Ana María Iregui & Ligia Melo B. & Jorge Ramos F., 2006. "Evaluación Y Análisis De Eficiencia De La Educación En Colombia," BORRADORES DE ECONOMIA 002645, BANCO DE LA REPÚBLICA.
    9. Marianne Bertrand & Claudia Goldin & Lawrence F. Katz, 2010. "Dynamics of the Gender Gap for Young Professionals in the Financial and Corporate Sectors," American Economic Journal: Applied Economics, American Economic Association, vol. 2(3), pages 228-255, July.
    10. Ana María Iregui & Ligia Melo & Jorge Ramos, 2007. "Análisis de eficiencia de la educación en Colombia," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO, May.
    11. Loprest, Pamela J, 1992. "Gender Differences in Wage Growth and Job Mobility," American Economic Review, American Economic Association, vol. 82(2), pages 526-532, May.
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    More about this item


    Asymmetry; emerging markets; transaction volume; 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
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates


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