Exceso de confianza como determinante de la volatilidad en mercados accionarios Latinoamericanos

Content Provider	Semantic Scholar
Author	Valdés, Arturo Lorenzo
Copyright Year	2016
Abstract	We propose an EGARCH model with a standardized Student's t distribution for the innovations. The model is used to describe the behavior of the volatility of 6 Latin American stock indices returns. In the conditional variance equation we incorporated factors that represent investor's overconfidence to determine whether this cognitive bias affects the volatility of returns. The results suggest that: 1) The return series analyzed can be adequately described by the proposed model, 2) the property of leverage effect is observed in the return series, of Chile, Colombia, Mexico and Peru; 3) in general we can say that overconfidence is a determinant of volatility, and 4) in times of crisis the confidence is lost in financial markets, mainly the Mexican.
Starting Page	324
Ending Page	333
Page Count	10
File Format	PDF HTM / HTML
DOI	10.1016/j.cya.2015.11.006
Volume Number	61
Alternate Webpage(s)	http://www.cya.unam.mx/index.php/cya/article/download/784/816
Alternate Webpage(s)	https://doi.org/10.1016/j.cya.2015.11.006
Language	English
Access Restriction	Open
Content Type	Text
Resource Type	Article