Une analyse du rapport prix-volume à travers la causalité et l'effet du «jour de la semaine», appliquée aux marchés boursiers d'Amérique latine
DOI :
https://doi.org/10.17533/udea.le.n83a01Mots-clés :
rapport volume-prix, effet du jour de la semaine, marchés émergents, causalité de GrangerRésumé
Cet article examine la relation entre les rendements journaliers et les volumes de négociations boursières. Pour ce faire, nous utilisons le test de causalité de Granger et l'effet du « jour de la semaine », appliqués aux principaux marchés boursiers d'Amérique latine pour la période 1998-2014. Nous analysons les indices boursiers d’Argentine, Brésil, Chili, Colombie, Mexique et Pérou. Cette étude utilise des modèles à variance hétéroscédastiques et des modèles autorégressifs (VAR). Les résultats montrent, d’une part, la présence d'un fort effet
du « jour de la semaine » et, d’autre part, ils montrent une causalité des rendements des indices sur la variation des volumes de négociations boursières pour presque tous pays analysés.
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