Anomalías en la autocorrelación de rendimientos y la importancia de los periodos de no transacción en mercados latinoamericanos

Kristjanpoller Rodríguez Werner ()
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Kristjanpoller Rodríguez Werner: Universidad Técnica Federico Santa María

Contaduría y Administración, 2013, vol. 58, issue 1, 37-62

Abstract: This paper aims to determine the evidence of returns autocorrelation for the main Latin American stock markets, and the influence of the day of the week effect on this phenomenon. Also, we analyze the importance of non-trading periods and their incidence on stock markets returns. We determine a high autocorrelation in most of the stock markets analyzed, both in local and global currency and the day-of-the-week effect on only some of the stock markets. Evidence of correlation between trading periods returns and those of non-trading periods is also found.

Keywords: autocorrelación de rendimientos; mercados emergentes; periodos de no transacción (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:nax:conyad:v:58:y:2013:i:1:p:37-62

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