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El efecto día en la bolsa de valores de Colombia

Listed author(s):
  • Alvaro Montenegro


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.

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Paper provided by UNIVERSIDAD JAVERIANA - BOGOTÁ in its series DOCUMENTOS DE ECONOMÍA with number 004447.

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Length: 21
Date of creation: 04 Nov 2007
Handle: RePEc:col:000108:004447
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