¿Existe memoria larga en mercados bursátiles, o depende del modelo, periodo o frecuencia? (Is there Long Memory in Stock Markets, or Does it Depend on the Model, Period or Frequency?)

Autores/as

  • Héctor F. Salazar-Núñez Escuela Superior de Economía, Instituto Politécnico Nacional.
  • Francisco Venegas-Martínez Escuela Superior de Economía, Instituto Politécnico Nacional.
  • Cuahutémoc Calderón-Villareal Departamento de Estudios Económicos, Colegio de la Frontera Norte, A.C.

DOI:

https://doi.org/10.29105/ensayos36.1-1

Palabras clave:

Mercados bursátiles, Memoria larga, Métodos econométricos de series de tiempo

Resumen

El presente trabajo cuestiona si realmente existe memoria larga en los principales mercados accionarios del mundo y, en caso de que esta exista, a qué se debe: ¿al tipo de modelos econométricos empleados, al periodo o la frecuencia de los datos? Para ello, se realiza un análisis comparativo entre modelos ARFIMA y GARCH. Los únicos mercados que mostraron resultados consistentes de memoria larga, independientemente del método, periodo y frecuencia, fueron China y Corea del Sur. El primero tiene memoria larga y el segundo, corta.

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Biografía del autor/a

Héctor F. Salazar-Núñez, Escuela Superior de Economía, Instituto Politécnico Nacional.

Escuela Superior de Economía, Instituto Politécnico Nacional.

Francisco Venegas-Martínez, Escuela Superior de Economía, Instituto Politécnico Nacional.

Escuela Superior de Economía, Instituto Politécnico Nacional.

Cuahutémoc Calderón-Villareal, Departamento de Estudios Económicos, Colegio de la Frontera Norte, A.C.

Departamento de Estudios Económicos, Colegio de la Frontera Norte, A.C.

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Publicado

2017-04-28

Cómo citar

Salazar-Núñez, H. F., Venegas-Martínez, F., & Calderón-Villareal, C. (2017). ¿Existe memoria larga en mercados bursátiles, o depende del modelo, periodo o frecuencia? (Is there Long Memory in Stock Markets, or Does it Depend on the Model, Period or Frequency?). Ensayos Revista De Economía, 36(1), 1–24. https://doi.org/10.29105/ensayos36.1-1

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Artículos: Convocatoria Regular