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Impacto de Expectativas Políticas en los Retornos del Indice General de la Bolsa de Valores de Lima

Author

Listed:
  • Gabriel Rodríguez

    (Departamento de Economía - Pontificia Universidad Católica del Perú)

  • Alfredo Vargas

Abstract

El presente documento analiza el impacto de las expectativas políticas sobre los retornos del índice general de la Bolsa de Valores de Lima (IGBVL) utilizando información para los periodos electorales de 1995 y 2000. La variable explicativa principal es una medida de la probabilidad de que un candidato gane las elecciones. Así, la hipótesis a veri?car es si el grado de incertidumbre sobre las el resultado de las elecciones presidenciales afecta los retornos del IGBVL. Se usan otras variables explicativas como el tipo de cambio, in?ación, términos de intercambio. Los resultados muestran que para el primer periodo de análisis (1995) la probabilidad de que el candidato Fujimori gane las elecciones tuvo un signo positivo sobre el rendimiento del IGBVL. Por el contrario, en el periodo 2000,el signo de dicha variable cambia de signo denotando el desgaste político de dicho candidato sumado a las evidencias de corrupción encontradas por aquellos momentos. Los resultados muestran también la importancia de otras variables macroeconómicas en las estimaciones.

Suggested Citation

  • Gabriel Rodríguez & Alfredo Vargas, 2011. "Impacto de Expectativas Políticas en los Retornos del Indice General de la Bolsa de Valores de Lima," Documentos de Trabajo / Working Papers 2011-323, Departamento de Economía - Pontificia Universidad Católica del Perú.
    • Handle: RePEc:pcp:pucwps:wp00323
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    More about this item

    Keywords

    Expectativas Políticas; Entropía; Elecciones Políticas; Retornos; IGBVL;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation

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