Leverage effect on the colombian stock market

被引：0
|
作者：
Viviana Romero-Orjuela, Lizet [1 ,2 ]
Trilleras-Martinez, Alexander [2 ,3 ]
机构：
[1] Univ Nacl Colombia, Bogota, Colombia
[2] Univ Nacl Colombia, Estadist, Bogota, Colombia
[3] Univ Nacl Colombia, Matemt, Bogota, Colombia
来源：
CLIO AMERICA | 2016年 / 10卷 / 19期
关键词：
Stock Market; Colombia; Leverage effect; ARCH Models; EGARCH; TGARCH;
D O I：
10.21676/23897848.1671
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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 COLCAP 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.
引用
收藏
页码：43 / 54
页数：12
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