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Estacionalidad en la rentabilidad y volatilidad de los títulos que cotizan en el LATIBEX

Octavio Maroto Santana (), Rosa María Cáceres Apolinario, Lourdes Jordán Sales and Alejandro Rodriguez Caro
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Octavio Maroto Santana: Universidad de las Palmas de Gran Canaria
Rosa María Cáceres Apolinario: Universidad de las Palmas de Gran Canaria
Lourdes Jordán Sales: Universidad de las Palmas de Gran Canaria

Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), 2007, vol. 1, issue 1, 84-95

Abstract: Given the growing importance of the main Latin American economies, the Latibex was created in December 1999. It is an international market characterized for being the only one where exclusively Latin American financial assets are negotiated, using the platform of negotiation and liquidation of values of the Spanish Stock Market. The present paper focuses on seasonal anomalies of markets. In this sense, we empirically contrast the day of the week effect on the financial assets that are quoted on the Latibex and focus not only on the return but on the volatility as well. This paper uses for this purpose the conditional variance models T-ARCH and GARCH

Keywords: Latibex; GARCH; T-ARCH; Efecto día de la semana (search for similar items in EconPapers)
JEL-codes: G15 C22 (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:ega:rafega:200706

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