Relación precio-volumen mediante análisis de causalidad y efecto día de semana en los mercados accionarios latinoamericanos
DOI:
https://doi.org/10.17533/udea.le.n83a01Keywords:
price-volume relationship, day-of-the-week effect, emerging markets, Granger causalityAbstract
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.
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