Volume and Skewness Analysis in the Major Latin American Stock Markets

Werner Kristjanpoller and Víctor Caballero

Lecturas de Economía, 2012, issue 76, 119-141

Abstract: The main objective of this article is to study the relation between volumes and return asymmetries for most of the Latin American Stock Markets, including Argentina, Brazil, Chile, Colombia, Mexico and Peru. The selected methodology for this study considers the first three moments of operational volume and market returns following Hutson et al. (2008). The results include the identification of a statistically significant relation between transaction volumes and return asymmetries for the Mexican, Brazilian, Chilean, Colombian, and Argentine stock markets. This finding, however, is not conclusive for the Peruvian stock market.

Keywords: Asymmetry; emerging markets; transaction volume; volatility (search for similar items in EconPapers)
JEL-codes: C22 C32 G11 G12 (search for similar items in EconPapers)
Date: 2012
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