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Relación precio-volumen mediante análisis de causalidad y efecto día de semana en los mercados accionarios latinoamericanos
| Content Provider | Semantic Scholar |
|---|---|
| Author | Rojas, Emilio Kristjanpoller, Werner |
| Copyright Year | 2017 |
| Abstract | This paper examines the relationship between daily returns and trading volumes using the Granger causality test and, additionally, the day-of-the-week effect in the main Latin American stock markets for the period 1998-2014. It analyzes stock indexes from Argentina, Brazil, Chile, Colombia, Mexico and Peru. This study utilizes heteroskedastic variance models and vector autoregression (VAR). Results indicate the presence of a strong day-of-the-week effect in volume and evidence of causality from stock market return over transaction volume variation for almost all analyzed markets. |
| Starting Page | 9 |
| Ending Page | 31 |
| Page Count | 23 |
| File Format | PDF HTM / HTML |
| DOI | 10.17533/udea.le.n83a01 |
| Alternate Webpage(s) | http://www.scielo.org.co/pdf/le/n83/n83a01.pdf |
| Alternate Webpage(s) | http://aprendeenlinea.udea.edu.co/revistas/index.php/lecturasdeeconomia/article/download/23436/19296 |
| Alternate Webpage(s) | https://doi.org/10.17533/udea.le.n83a01 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
