Relación precio-volumen mediante análisis de causalidad y efecto día de semana en los mercados accionarios latinoamericanos

Rojas, Emilio Torres; Kristjanpoller, Werner

doi:10.17533/udea.le.n83a01

Cited by 4 publications

(3 citation statements)

References 43 publications

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“…For the Brazilian market, Santana and Manzoli (2014) identified the weekend effect using the BOVESPA Index, specifically, they found negative returns in Mondays that were accentuated in high volatility as with the sub-prime crisis. Rojas and Kristjanpoller (2015) found a strong weekend effect related to the trading volume in six Latin American markets (Argentina, Brazil, Colombia, Chile, Mexico, and Peru) because trading volume decreases on Mondays and Fridays and reaches its peak on Wednesdays. Furthermore, it seems that returns cause the trading volume and not the other way around.…”

Section: Literature Reviewmentioning

confidence: 97%

Weekend effect and financial characteristics: is there any relation in Latin America?

Mongrut

Delfino

2019

REMEF

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This study seeks to investigate the presence of the weekend effect in six Latin American markets (Argentina, Brazil, Chile, Colombia, Mexico and Peru) and to show the relationship between the weekend effect and investment portfolios sorted by four financial characteristics: stock market liquidity, current liquidity ratio, market capitalization (size) and price-to-book ratio. Using an extension of the French (1980) Model and a portfolio study we identify a significant weekend effect in all countries and found a negative relation between the weekend effect and four financial characteristics: the weekend effect is stronger in portfolios that contain stocks with low market liquidity, securities with low current liquidity ratios, small cap stocks (size) and stocks with low price-to-book ratios. As opposed to previous studies, we suggest that the weekend effect may be influenced by the investment of institutional investors in securitized loans issued by companies with value stocks and tight current liquidity ratios, and by the investment of individual investors in small-cap and illiquid stocks.

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Section: Literature Reviewmentioning

confidence: 97%

Weekend effect and financial characteristics: is there any relation in Latin America?

Mongrut

Delfino

2019

REMEF

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“…En la mayoría de los mercados existe una causalidad de la rentabilidad hacia el volumen, lo cual implica que mayores variaciones de precios trae consigo mayores variaciones de volumen (Rojas y Kristjanpoller, 2015). Pero el volumen no debe ser visto sólo como una medida derivada de las transacciones.…”

Section: Ii2 Volumen Y Precio De Las Acciones Dentro Del Valor De Launclassified

Cotización del petróleo y volumen de acciones de aerolíneas latinoamericanas 2011-2015: análisis de correlación bivariada

Zapata

Toro²,

Ruiz³

2018

RevConta

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Cotización del petróleo y volumen de acciones de aerolíneas latinoamericanas 2011-2015: análisis de correlación bivariada Resumen: El presente artículo tiene como objetivo analizar la influencia del precio del petróleo en el costo y volumen de las acciones de aerolíneas latinoamericanas en el periodo 2011-2015; para lograr esto, después de realizar una revisión de la literatura más relevante sobre el tema, analizar el comportamiento de las acciones de seis aerolíneas (Volaris, LAN, Gol, Copa, Avianca y Aeroméxico) y el precio del petróleo en las referencias BRENT y WTI, se aplicó un análisis de correlación bivariada. Según los análisis se concluye que la fluctuación del precio del petróleo, una de las principales materias primas en la aviación, afecta de manera negativa el precio y volumen de las acciones y repercute en la economía y finanzas de las aerolíneas y el desempeño del sector. Este estudio tiene implicaciones para las aerolíneas, los analistas y académicos que siguen el comportamiento de estas compañías.

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“…For Latin America, there are few studies (cf. Saatcioglu and Starks, 1998;Aranda and Jaramillo, 2008;Rojas and Kristjanpoller, 2015).…”

Section: Introductionmentioning

confidence: 99%

Adaptive efficiency of the Mexican Stock Exchange

Brito-Cervantes

Coronado

Morales-García

et al. 2018

ARLA

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Purpose The purpose of this paper is to analyse the adaptive market efficiency in the price–volume (P–V) relationship of the stocks listed in the Mexican Stock Exchange. The period under study goes from 1982 to 2015. In order to detect causality and, thus, determine adaptive efficiency in the market, one linear and two non-linear tests are applied. There are few papers in the literature that study the P–V relationship in Latin American markets; as such, this paper may be of interest and importance to financial academics and practitioners alike. Design/methodology/approach The Diks and Panchenko (DP) non-parametric Granger causality and the Brooks and Hinich (BH) cross-bicorrelation tests are applied. Findings Derived from the DP test, the findings show that there exists bi-directional non-linear Granger causality in 25.71 per cent of the firms studied, compared to 8 per cent when applying the linear Granger causality test. Therefore, there is evidence of weak-form efficiency in the market. From the BH test, evidence is shown of the adaptive market efficiency, since 71.42 per cent of firms exhibited some form of non-linear dependence in certain periods of time. With these results, the information process should be better studied for a greater comprehension of regulatory policies in the market and better decision-making tools for the investors. Originality/value This paper complements studies on the P–V relationship and efficiency in a Latin American market.

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Relación precio-volumen mediante análisis de causalidad y efecto día de semana en los mercados accionarios latinoamericanos

Cited by 4 publications

References 43 publications

Weekend effect and financial characteristics: is there any relation in Latin America?

Weekend effect and financial characteristics: is there any relation in Latin America?

Cotización del petróleo y volumen de acciones de aerolíneas latinoamericanas 2011-2015: análisis de correlación bivariada

Adaptive efficiency of the Mexican Stock Exchange

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