scholarly journals Markov-Switching Stochastic Processes in an Active Trading Algorithm in the Main Latin-American Stock Markets

Mathematics ◽  
2020 ◽  
Vol 8 (6) ◽  
pp. 942
Author(s):  
Oscar V. De la Torre-Torres ◽  
Evaristo Galeana-Figueroa ◽  
José Álvarez-García
Keyword(s):  
Stochastic Processes ◽  
Latin American ◽  
Stock Markets ◽  
Quantitative Model ◽  
Computer Algorithms ◽  
Stock Trading ◽  
Arch Models ◽  
Auto Regressive ◽  
Overall Performance ◽  
Gaussian Time

In the present paper, we review the use of two-state, Generalized Auto Regressive Conditionally Heteroskedastic Markovian stochastic processes (MS-GARCH). These show the quantitative model of an active stock trading algorithm in the three main Latin-American stock markets (Brazil, Chile, and Mexico). By backtesting the performance of a U.S. dollar based investor, we found that the use of the Gaussian MS-GARCH leads, in the Brazilian market, to a better performance against a buy and hold strategy (BH). In addition, we found that the use of t-Student MS-ARCH models is preferable in the Chilean market. Lastly, in the Mexican case, we found that is better to use Gaussian time-fixed variance MS models. Their use leads to the best overall performance than the BH portfolio. Our results are of use for practitioners by the fact that MS-GARCH models could be part of quantitative and computer algorithms for active trading in these three stock markets.

An Analysis of “Sell in May and Go Away” Strategy in Latin American Stock Markets

2021 ◽  
pp. 1-26
Author(s):  
Juliano Ribeiro de Almeida ◽  
Daniel Reed Bergmann ◽  
José Roberto Ferreira Savoia ◽  
Guilherme Ribeiro de Almeida ◽  
Marina Arantes Braga
Keyword(s):  
Latin American ◽  
Stock Markets

scholarly journals Do psychological barriers exist in Latin American stock markets?

2020 ◽  
Vol 35 (2) ◽  
pp. 29-56
Author(s):  
Júlio Lobão ◽  
Natércia Fortuna ◽  
Franklin Silva
Keyword(s):  
Latin American ◽  
Stock Markets ◽  
Psychological Barriers

scholarly journals Evaluación del efecto tamaño de empresa en los mercados bursátiles de América Latina

2013 ◽  
Vol 17 (37) ◽  
pp. 5-28
Author(s):  
Juan Benjamín Duarte Duarte ◽  
Zulay Yesenia Ramírez León ◽  
Katherine Julieth Sierra Suárez
Keyword(s):  
Latin America ◽  
Size Effect ◽  
Cross Section ◽  
Latin American ◽  
Stock Markets ◽  
The Cross ◽  
America Latina

This paper assesses the existence of the size effect on the most important stock markets in Latin America (Argentina, Brazil, Chile, Colombia, Mexico and Peru) for the period between 2002 and 2012, using the cross-section contrast methodology of the size effect in the CAPM context. Results show that there is reversed effect in some of the Latin American markets.

scholarly journals Linkages and performance comparison among Eastern Europe stock markets

2014 ◽  
Author(s):  
José Soares Da Fonseca
Keyword(s):  
Stock Markets ◽  
Performance Comparison ◽  
Market Model ◽  
Var Model ◽  
Time Varying ◽  
Comparative Performance ◽  
Regional Market ◽  
Auto Regressive ◽  
And Performance ◽  
The Empirical Analysis

This article studies the linkages among the stock markets of Bulgaria, Czech Republic, Estonia, Hungary, Poland, Romania, Russia, Serbia, Slovenia and Ukraine. The empirical analysis begins with the estimation of a regional market model, whose beta parameters depend on predetermined information variables. Those parameters support the calculation of time‑varying Treynor ratios used on a comparative performance analysis. A Vector Auto Regressive Model (VAR) is used to estimate the performance causality within this group of markets. The VAR model results provide evidence that there is reciprocal performance across the majority of the selected stock markets.

scholarly journals A study of co-movements between U.S. and Latin American stock markets: A cross-bicorrelations perspective

DYNA ◽  
2016 ◽  
Vol 83 (196) ◽  
pp. 143-148 ◽  
Author(s):  
Semei Coronado-Ramirez ◽  
Omar Rojas-Altamirano ◽  
Rafael Romero-Meza ◽  
Francisco Venegas-Martínez
Keyword(s):  
Stock Market ◽  
Latin American ◽  
Stock Markets ◽  
Nonlinear Dependence ◽  
Standard And Poor's ◽  
Non Linear ◽  
Market Indexes

<p>This work applies a test that detects dependence between pairs of variables. The kind of dependence is a non-linear one, and the test is known as cross-bicorrelation, which is associated with Brooks and Hinich [1]. We study dependence periods between U.S. Standard and Poor's 500 (SP500), used as a benchmark, and six Latin American stock market indexes: Mexico (BMV), Brazil (BOVESPA), Chile (IPSA), Colombia (COLCAP), Peru (IGBVL) and Argentina (MERVAL). We have found windows of nonlinear dependence and comovement between the SP500 and the Latin American stock markets, some of which coincide with periods of crisis, leading to an interpretation of a possible contagion or interdependence.</p>

Are Shocks Asymmetric to Volatility of Chinese Stock Markets?

2004 ◽  
Vol 07 (03) ◽  
pp. 379-395 ◽  
Author(s):  
Wei-Chiao Huang ◽  
Yuanlei Zhu
Keyword(s):  
Stock Returns ◽  
Stock Markets ◽  
Garch Model ◽  
Leverage Effect ◽  
Arch Models ◽  
Before And After ◽  
Chinese Markets ◽  
Chinese Stock Markets ◽  
Better Than ◽  
A Share

This paper uses ARCH models to examine if there is a leverage effect and also to test if A- and B-share holdings have different risks in Chinese stock markets before and after B-share markets open to domestic investors in February 2001. The empirical results suggest that leverage effect was not present and shocks have symmetric impact on the volatility of Chinese B-share stock returns in both periods and A-share returns in Period I. Thus GARCH model would be a better model to fit the Chinese B-share stock returns than EGARCH or GJR-GARCH model. But EGARCH or GJR-GARCH model fits recent (Period II) A-share markets data better than GARCH model. Another finding of this paper is that holding A- or B-share bears different risk in returns in the two Chinese markets. Furthermore, news or shocks have a larger impact on volatility of B-share returns in Period I than in Period II.

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