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Efecto d�a en el mercado accionario Colombiano: Una aproximaci�n no param�trica

Author

Listed:
  • Jhonatan P�rez Villalobos
  • Juan Carlos Mendoza de Guti�rrez de Pi�eres

Abstract

En el presente trabajo se muestra evidencia para rechazar la Hip�tesis de Mercado Eficiente (HME) a trav�s de la anomal�a efecto d�a (day effect). Se utilizan dos aproximaciones: la primera, bajo el supuesto de normalidad, estima un modelo lineal que corrobora los hallazgos de estudios anteriores sobre un efecto significativo del d�a de la semana sobre el retorno. La segunda, felixibiliza el supuesto de normalidad aplicando pruebas no param�tricas, y confirma los resultados de la primera aproximaci�n. Se utiliz� el IGBC y una versi�n diversificada de �ste, la cual responde a la alta concentraci�n del �ndice en pocas acciones. Este documento corrobora los resultados de otras investigaciones basadas en m�todos param�tricos, y adicionalmente, a partir de pruebas no param�tricas, muestra que existe un efecto d�a significativo.

Suggested Citation

  • Jhonatan P�rez Villalobos & Juan Carlos Mendoza de Guti�rrez de Pi�eres, 2010. "Efecto d�a en el mercado accionario Colombiano: Una aproximaci�n no param�trica," Borradores de Economia 6700, Banco de la Republica.
    • Handle: RePEc:col:000094:006700
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    Citations

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    Cited by:

    1. José Ignacio López Gaviria, 2019. "Predictibilidad del mercado accionario colombiano," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 91, pages 117-150.
    2. Carlos León, 2012. "Implied probabilities of default from Colombian money market spreads: The Merton Model under equity market informational constraints," Borradores de Economia 743, Banco de la Republica de Colombia.
    3. Andrés Felipe Galeano Zurbaran, 2018. "Distribuciones no normales para la selección de activos en el mercado Colombiano," Documentos de Trabajo 17208, Quantil.

    More about this item

    Keywords

    Eficiencia de mercado; hip�tesis de mercado eficiente; m�todos no param�tricos; IGBC; retornos.;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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