Reacción de los mercados accionarios latinoamericanos a los anuncios macroeconómicos

Diego Agudelo (), A. Marcela Álvarez L. () and Yesica T. Osorno M. ()

No 10655, Documentos de Trabajo de Valor Público from Universidad EAFIT

Abstract: Resumen:Se presenta evidencia empírica sobre el efecto de los anuncios macroeconómicos de la inflación y el PIB en rendimientos y volatilidad diarios de los mercados accionarios de seis países latinoamericanos, empleando modelos de series de tiempo univariadas. Los efectos hallados de los anuncios sobre los rendimientos sólo son significativos y en la dirección esperada en inflación para Colombia y Perú, y en PIB, para Chile. Sin embargo, también se encuentran efectos en días anteriores y posteriores a los anuncios, contradiciendo la hipótesis de eficiencia de mercado. Además, los días de anuncios de la inflación están asociados a mayor volatilidad, pero los del PIB a menor.Abstract:This paper shows empirical evidence of the effect of macroeconomic announcements (inflation and GDP) on returns, volatility and trading activity for the stock markets of Argentina, Brazil, Chile, Colombia, Mexico and Peru, using daily univariate time series models. Significant contemporaneous effects were found only for Colombia and Peru during inflation announcements and for Chile during GDP announcements. On the other hand, lagged and lead effects from announcements were found in most of the cases, contradicting market efficiency. Besides, inflation announcements are associated to higher volatility whereas those of GDP are to lower volatility for most of the countries.

Keywords: Mercados Emergentes; Mercados accionarios internacionales; Anuncios macroeconómicos; Eficiencia de mercado; Emerging markets; International stock markets; Market efficiency; Macroeconomic announcements (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Pages: 39
Date: 2009-06-21
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