Particularidades do mercado financeiro latino-americano

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Paulo Sergio Ceretta
Newton Carneiro Afonso da Costa Júnior

Abstract

This article investigates the risk-return relationship, the presence of asymmetric behavior in the conditional volatility and the presence of daily seasonalities in price variation and in the volatility of stock market indices. The study examines five Latin American stock market indices, in the period from January of 1994 to June of 1999. It was used the GJR-GARCH (1,1)-Mmodel estimated by maximum likelihood. The results suggest that there is no significant relationship among conditional volatility and return. The conditional volatility exhibits an asymmetric behavior in most of the countries. The daily seasonalities in the returns were detected in Mexico, Peru and Venezuela. The conditional volatility did not show any seasonality in any of the indices studied.

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How to Cite
CERETTA, P. S.; COSTA JÚNIOR, N. C. A. da. Particularidades do mercado financeiro latino-americano. RAE - Revista de Administracao de Empresas , [S. l.], v. 41, n. 2, p. 72–77, 2001. Disponível em: https://periodicos.fgv.br/rae/article/view/37714. Acesso em: 18 jul. 2024.
Section
Finanças

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