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El efecto día en la bolsa de valores de Colombia

Author

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  • Alvaro Montenegro

    ()

Abstract

En los mercados bursátiles mundiales es frecuente encontrar algún grado de correlación entre los movimientos diarios en los precios de las acciones y el día de la semana en que ocurre dicho movimiento. Este es un indicio de ineficiencia ya que, según la hipótesis del mercado eficiente, los precios de las acciones son impredecibles a partir de un conjunto de información disponible. En este trabajo se explora la posibilidad del efecto día en el IGBC, tanto en el movimiento de precios como en su volatilidad. En ambos casos se encuentran efectos estadísticamente significativos.

Suggested Citation

  • Alvaro Montenegro, 2007. "El efecto día en la bolsa de valores de Colombia," DOCUMENTOS DE ECONOMÍA 004447, UNIVERSIDAD JAVERIANA - BOGOTÁ.
  • Handle: RePEc:col:000108:004447
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    File URL: http://www.javeriana.edu.co/fcea/area_economia/inv/documents/Elefectodiaenlabolsadevaloresdecolombia_000.pdf
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    Cited by:

    1. Jose Ignacio Lopez, 2018. "Predictibilidad del Mercado Accionario Colombiano," DOCUMENTOS CEDE 016086, UNIVERSIDAD DE LOS ANDES-CEDE.

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