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Regional Integration in Latin America - The Pacific Alliance a Way Ahead
Journal Articles, Spanish

Seasonal Effects on Capital Stock Markets of the Pacific Alliance

Abstract:
This document aims at testing the existence of the seasonal effects day of the week, month of the year, change of month, end of December and superstition in the capital stock markets of the countries belonging to the Pacific Alliance, during 2002-2014. For this, parametric and no parametric statistics econometric methodology were used. The results demonstrated that the day of the week effect existed in the Chilean, Colombian, and Peruvian markets, whose behavior, in general, agrees with the literature. In addition, change of month effect existed in the Mexican and Peruvian markets, whose behavior also agrees with the literature. The month of the year, end of December and superstition effects were not detected.

Resumen:
Este documento tiene por objetivo probar la existencia de los efectos estacionales del día de la semana, mes del año, cambio de mes, fin de diciembre y superstición en los mercados de capitales de la Alianza del Pacífico durante el período 2002-2014. Para esto se emplea una metodología econométrica de estadísticas tradicionales y no paramétricos. Se pudo concluir que existe un efecto día de la semana para los mercados chileno, colombiano y peruano, el cual se comporta, en general, como lo sugiere la literatura, y un efecto cambio de mes para los mercados mexicano y peruano, que se comporta según lo sugerido por la literatura.
No se detectó ningún efecto mes del año, fin de diciembre o superstición.

Author: David Arbeláez García and John Rosso
Spanish Title: Efectos estacionales en los mercados de capitales de la Alianza del Pacífico
Full document: 2016, Arbelaez & Rosso, Efectos Estacionales en los Mercados de Capitales de la Alianza del Pacífico

March 10, 2016by Ana Maria Palacio

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Hello my name is Ana Maria Palacio. I have a PhD from the University of Melbourne. This blog is about my thesis project, the Pacific Alliance.

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