Examinando por Materia "Eficiencia de mercado"
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Ítem Anuncios macroeconómicos y mercados Accionarios: El caso Latinoamericano(Universidad EAFIT, 2011-12-15) Agudelo, Diego A.; Gutierrez, AngeloDo stock markets reflect changes on the macroeconomic fundamentals? . The semi-strong form of the Efficient market hypothesis (HEM - Fama 1970) asserts that stock prices should react immediately to the surprise content on announcements of macroeconomic variables, without predictable over or under reaction. We test this in the six main Latin-American equity markets: Argentina, Brazil, Chile, Colombia, México and Perú, for the announcements of Consumer Price Inflation, Central Bank interest rate, GDP growth, Trade Balance and Unemployment rate. Following Flannery and Protopapadakis (2002), we estimate the effect of the surprises of such announcements, using time series models of conditional volatility, controlling of the exchange rate and international stock markets. We found that the effects on the market returns are significant and with the expected sign only for the CPI in Mexico, for the interest rate in Chile and Colombia, and for Unemployment on those three markets. Moreover, in some cases the stock markets incorporate the announcement with a lag, whereas in others, they react to the announcement rather than to the surprise, in conflict with the HEM. We conclude that the Latin-American stock markets react only partially to the macroeconomic announcements and not fully incorporating the new information in an efficient manner.Ítem Estrategias de trading en acciones de BVC basadas en Machine Learning. ¿Precisión implica desempeño?(Universidad EAFIT, 2022) Cerro Espinal, Carlos Alberto; Agudelo Rueda, Diego AlonsoÍtem Reacción de los mercados accionarios latinoamericanos a los anuncios macroeconómicos(Universidad EAFIT, 2009-07-15) Agudelo R., Diego A.; Álvarez L., A. Marcela; Osorno M., Yesica T.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.Ítem ¿Realidad o sofisma? Poniendo a prueba el análisis técnico en las acciones colombianas(Universidad EAFIT, 2009-06-06) Agudelo, Diego Alonso; Uribe, Jorge HernánAs posed by the weak version of market efficiency, the empirical evidence of this paper shows that is not possible to obtain significant and statistically robust economic benefits when trading on ten technical rules (moving average, filters and eight Japanese candlesticks), in 19 Colombian stocks. Unlike other investigations, this study applied “outof- sample” tests to avoid “Data snooping”, estimations of transaction costs, and statistical significance tests based on Bootstrapping. In a few cases these strategies yielded excess returns over a passive strategy, but neither stable nor significant.Ítem Rendimiento ex-dividendo como indicador de eficiencia en un mercado emergente: caso colombiano 1999-2007(Elsevier, 2012) Arroyave C.,m Elizabeth T.; Agudelo R., Diego A.; Profesora Universidad de Medellín, Colombia; Profesor Titular, Coordinador del Grupo de Investigación en Finanzas y Banca, Universidad EAFIT, Medellín, Colombia; Economía y Finanzas; Finanzas; Grupo de Investigación Finanzas y BancaÍtem Rendimiento ex-dividendo como indicador de eficiencia en un mercado emergente: caso colombiano 1999-2007(Universidad EAFIT, 2012-12-15) Arroyave C., Elizabeth T.; Agudelo R., Diego A.We study the ex-dividend return in the Colombian stock market between 1999 and 2007, period that includes the merger of the former three Colombian stock exchanges in the Bolsa de Valores de Colombia in July 2001. Contrary to the Efficient Market Hypothesis, we found positive and statistically significant ex-dividend returns in the sampled period, only in part explained by transaction cost and tax effects. Moreover, even subtracting transaction costs and tax effects, a dividend capture strategy would have got positive and economically sizable returns between 2006 and 2007 in the most liquid stocks. The decrease of those ex-dividend returns is also reported along the studied period, providing evidence of increasing informational efficiency after the merger of the three stock exchanges. Methodologically, this study highlights the importance of accounting for frictions in both academic efficiency studies and in testing speculative strategies by practitioners.