哥伦比亚股票市场的杠杆效应

IF 0.4 Q4 BUSINESS

Clio America Pub Date : 2016-01-28 DOI:10.21676/23897848.1671

Lizet Viviana Romero Orjuela, Alexander Trilleras Martínez

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引用次数: 1

摘要

本文分析了杠杆效应对哥伦比亚股票市场的影响，为此使用ARCH家族模型来评价杠杆效应在股票市场中的存在性。具体使用了TGARCH和EGARCH非线性模型。本分析选择的系列是最具代表性的股票市场指数，COLPAC指数和6只股票。最后我们发现哥伦比亚股市具有杠杆效应，即坏消息对股票收益的波动率有较大的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Efecto apalancamiento en el mercado accionario colombiano

In this paper the leverage effect on the Colombian stock market is analyzed, for this purpose ARCH family models are used to evaluate the existence of the effect in the stock market. Specifically TGARCH and EGARCH non-linears models are used. The series chosen for this analysis are the Indice General de la Bolsa de Valores which is the most representative of the stock market, the COLPAC index, and six stocks. Finally we find that the Colombian stock market has leverage effect, ie bad news have a greater impact on the volatility of stock returns.

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来源期刊

Clio America BUSINESS-

自引率

33.30%

发文量