Reacción de los mercados accionarios latinoamericanos a los anuncios macroeconómicos

This paper shows empirical evidence of the effect of macroeconomic announcements (inflation and GDP) on returns, volatility and trading activity for the stock markets of Argentina, Brazil, Chile, Colombia, Mexico and Peru, using daily univariate time series models. Significant contemporaneous effect...

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Autores:
Agudelo R., Diego A.
Álvarez L., A. Marcela
Osorno M., Yesica T.
Tipo de recurso:
Fecha de publicación:
2009
Institución:
Universidad EAFIT
Repositorio:
Repositorio EAFIT
Idioma:
spa
OAI Identifier:
oai:repository.eafit.edu.co:10784/655
Acceso en línea:
http://hdl.handle.net/10784/655
Palabra clave:
Emerging markets
International stock markets
Market efficiency
Macroeconomic announcements
Mercados Emergentes
Mercados accionarios internacionales
Anuncios macroeconómicos
Eficiencia de mercado
Rights
License
Acceso abierto
Description
Summary:This paper shows empirical evidence of the effect of macroeconomic announcements (inflation and GDP) on returns, volatility and trading activity for the stock markets of Argentina, Brazil, Chile, Colombia, Mexico and Peru, using daily univariate time series models. Significant contemporaneous effects were found only for Colombia and Peru during inflation announcements and for Chile during GDP announcements. On the other hand, lagged and lead effects from announcements were found in most of the cases, contradicting market efficiency. Besides, inflation announcements are associated to higher volatility whereas those of GDP are to lower volatility for most of the countries.