Anomalías de calendario en los mercados accionarios latinoamericanos: una revisión mediante el procedimiento de Bonferroni

Emilio Rojas; Werner Kristjanpoller

doi:10.17533/udea.le.n81a4

Auteurs-es

Emilio Rojas Université technique Federico Santa María
Werner Kristjanpoller Université technique Federico Santa María

DOI :

https://doi.org/10.17533/udea.le.n81a4

Mots-clés :

jour de la semaine, effet du mois, marchés émergents, correction de Bonferroni, modèles autorégressifs hétéroscédastique

Résumé

Dans cet article nous corrigeons les études concernant les anomalies du calendrier traditionnel dans les principaux marchés boursiers d'Amérique latine, pour la période comprise entre 1991 et 2013. Les indices boursiers analysés sont ceux d’Argentine, Brésil, Chili, Colombie, Mexique et Pérou. Pour ce faire, nous présentons des modèles économétriques avec une variance hétéroscédastique, lesquels sont ensuite complétés par des tests de significativité, y compris la correction proposée par Bonferroni. Les résultats montrent des anomalies mixtes, lesquelles disparaissent grâce à l’utilisation de la méthode de Bonferroni, aussi bien au niveau de la rentabilité qu’au niveau de la volatilité, pour la plupart des pays à la fin de la période d'étude.

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Bibliographies de l'auteur-e

Emilio Rojas, Université technique Federico Santa María

Master of Science en Génie Industriel, mention en Gestion Financière. Université Santa Maria, Chile

Werner Kristjanpoller, Université technique Federico Santa María

Docteur en Sciences Commerciales. Professeur à temps plein, Département des industries, de l'économie et des affaires. Université Santa Maria, Chile

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