Resultados estimados de la actividad bursátil
| Variables | ln_ValTransado | ln_NumOper | ln_Turnover | |||
|---|---|---|---|---|---|---|
| ARIMAX (1,0,12) | ARIMA (1,0,12) | ARIMAX (1,0,1) | ARIMA (1,0,1) | ARIMAX (1,0,12) | ARIMA (1,0,12) | |
| (1) | (2) | (3) | (4) | (5) | (6) | |
| Emisión | 0.140*** (0.01) | 0.0327 (0.45) | 0.136*** (0.00) | |||
| Persistencia | 0.140** (0.04) | 0.165** (0.01) | 0.119* (0.07) | |||
| Lag (1) VIX | −0.0103*** (0.00) | −0.00509* (0.05) | −0.00317 (0.28) | |||
| AR (1) | 0.423*** (0.00) | 0.537*** (0.00) | 0.935*** (0.00) | 0.907*** (0.00) | 0.437*** (0.00) | 0.458*** (0.00) |
| MA (1) | −0.625*** (0.00) | −0.515*** (0.00) | ||||
| MA (5) | 0.352*** (0.00) | 0.314*** (0.00) | 0.356*** (0.00) | 0.312*** (0.00) | ||
| MA (12) | 0.450*** (0.00) | 0.273*** (0.00) | 0.464*** (0.00) | 0.328*** (0.00) | ||
| _cons | 15.00*** (0.00) | 14.83*** (0.00) | 10.91*** (0.00) | 10.84*** (0.00) | −4.580*** (0.00) | −4.607*** (0.00) |
| sigma | 0.218*** (0.00) | 0.243*** (0.00) | 0.186*** (0.00) | 0.197*** (0.00) | 0.216*** (0.00) | 0.232*** (0.00) |
| N | 119 | 120 | 118 | 119 | 119 | 120 |
| Adj R-squared | 0.56 | 0.47 | 0.50 | 0.46 | 0.44 | 0.37 |
| Prob > F | (0.0000) | (0.0000) | (0.0000) | (0.0000) | (0.0000) | (0.0000) |
| Variables | ln_ValTransado | ln_NumOper | ln_Turnover | |||
|---|---|---|---|---|---|---|
| ARIMAX (1,0,12) | ARIMA (1,0,12) | ARIMAX (1,0,1) | ARIMA (1,0,1) | ARIMAX (1,0,12) | ARIMA (1,0,12) | |
| (1) | (2) | (3) | (4) | (5) | (6) | |
| Emisión | 0.140 | 0.0327 (0.45) | 0.136 | |||
| Persistencia | 0.140 | 0.165 | 0.119 | |||
| Lag (1) VIX | −0.0103 | −0.00509 | −0.00317 (0.28) | |||
| AR (1) | 0.423 | 0.537 | 0.935 | 0.907 | 0.437 | 0.458 |
| MA (1) | −0.625 | −0.515 | ||||
| MA (5) | 0.352 | 0.314 | 0.356 | 0.312 | ||
| MA (12) | 0.450 | 0.273 | 0.464 | 0.328 | ||
| _cons | 15.00 | 14.83 | 10.91 | 10.84 | −4.580 | −4.607 |
| sigma | 0.218 | 0.243 | 0.186 | 0.197 | 0.216 | 0.232 |
| 119 | 120 | 118 | 119 | 119 | 120 | |
| Adj | 0.56 | 0.47 | 0.50 | 0.46 | 0.44 | 0.37 |
| Prob > F | (0.0000) | (0.0000) | (0.0000) | (0.0000) | (0.0000) | (0.0000) |
Notas:
Esta tabla reporta los resultados mediante las estimaciones arma para la actividad bursátil del mercado colombiano, en el período 2007-2016. Las variables dependientes (ln_ValTransado) ln_NumOper y ln_Turnover hacen referencia al logaritmo natural del valor transado total, número total de operaciones y rotación en el mercado accionario en cada mes. Los p-values están en paréntesis.
*,
** y
*** representan significancia al 10, 5 y 1%, respectivamente. Estimaciones propias, 2017
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