Sistema Regional de Información
en línea para Revistas Científicas de América Latina,
el Caribe, España y Portugal

This study seeks to investigate the presence of the weekend effect in six Latin American markets (Argentina, Brazil, Chile, Colombia, Mexico and Peru) and to show the relationship between the weekend effect and investment portfolios sorted by four financial characteristics: stock market liquidity, current liquidity ratio, market capitalization (size) and price-to-book ratio. Using an extension of the French (1980) Model and a portfolio study we identified a significant weekend effect in all countries and found a negative relation between the weekend effect and four financial characteristics: the weekend effect is stronger in portfolios that contain stocks with low market liquidity, securities with low current liquidity ratios, small cap stocks (size) and stocks with low price-to-book ratios. Our contribution lies in unveiling the role of institutional investors in generating the weekend effect in emerging markets. As opposed to previous studies, we suggest that the weekend effect may be influenced by the investment of institutional investors in securitized loans issued by companies with value stocks and tight current liquidity ratios, and by the investment of individual investors in small-cap and illiquid stocks. Our results are limited by the fact that we do not know in detail institutional investors’ investment practices, but they also imply that there must be higher scrutiny in the composition of their investment portfolios.

(Optimal consumption and investment and Asian option pricing in a stochastic environment with microeconomic foundations and Monte Carlo simulation)Abstract. This research presents an alternative model that characterizes the price of an  European-style Asian put option with variable exercise price with arithmetic average subscribed on an stock whose volatility is stochastic, through a system of differential equations that comes from a model of stochastic optimal control in continuous time. For this purpose, a model of a rational agent is developed that has an initial wealth and faces the decision of distributing its wealth between consumption and investment in a portfolio of assets, which includes an European-style Asian put option  with exercise price with arithmetic average, in a finite temporal horizon. The valuation is carried out in terms of the amount that the consumer is willing to pay to maintain its Asian option contract in order to hedge against market risk. Also, prices of European and Asian call and put options  are approximated by Monte Carlo simulation with calibrated parameters adapting the Cox-Ingersoll-Ross model with realized volatility. The valuation formula obtained was not determined by fundamentals of economic rationality. The empirical evidence indicates that prices are very close in the short term, but in the long term, the difference between European and Asian prices increases.

This work performs an analysis of spillover effects between U.S. stock returns and changes in EMBI Global indices in Argentina, Brazil, Colombia, Mexico and Peru. A total spillover index is estimated to show significant increases at the turn of the century and during the global financial crisis. Breaking down the index into its directional components shows that the main sources of spillover among the markets analyzed are the U.S. stock market and the Brazilian bond index. An important limitation is that the EMBIGs of other Latin American countries are left out of the study and the main implication of the results is that it shows how the behavior of these instruments relates, which can be useful for portfolio decision-making. It is also noteworthy that the main recipients of spill effects are the indices of the bonds of Peru and Mexico, while the Argentine bond index is the least affected by external shocks.

The goal of this research is to analyze the presence of financial bubbles or an explosive behavior in four cryptocurrencies: Ethereum, Ripple, Bitcoin Cash, and EOS. The assets' selection was based on market capitalization. The methodology implemented was a simple and generalized test (SADF and GSADF) of a variation of the augmented Dickey-Fuller test proposed by Phillips et al. (2011, 2015). We found ten, seven, six and seven exuberant behaviors in the aforesaid assets, respectively. This methodology has been largely unexplored and could be employed on a standard basis in the financial sector for any other asset. This is the first research that detects this type of behavior for a group of cryptocurrencies with daily frequency. With the present research and the paper of Li et al. (2018), 68.47% of the market has been analyzed under the methodology. Consequently, this behavior could be dispersed throughout the sector.

El objetivo de este trabajo es analizar los efectos sobre el bienestar que puede tener la política monetaria que establece la tasa de interés de referencia por intervalos discretos de tiempo. La hipótesis es que debido a que hay incertidumbre sobre diversas perturbaciones que tendrán lugar en el período en que se establece la tasa de interés referencial, esto puede causar una pérdida de bienestar social. Para analizar el problema, se plantea un modelo donde el banco central minimiza una función de pérdida. Cuando hay perfecta certidumbre, se alcanza una frontera eficiente entre las varianzas de la inflación y el producto. Con incertidumbre el resultado es ineficiente. Esto implica la necesidad de discutir si sería conveniente que la tasa de interés se fijara de manera contingente. La principal limitación del trabajo es tal vez que el modelo utilizado hace una gran cantidad de abstracciones, lo que le permite ser funcional, pero puede dejar de lado aspectos importantes de la realidad. Por otra parte, parece haber muy pocos trabajos, o tal vez ninguno, que traten el problema particular analizado este artículo.

Despite the vast overhaul the Mexican economy has gone through since the 1980s, the promised high and sustained economic growth has not materialized. Scholars and policy makers are unanimous in pointing to credit constraints as one of the key reasons for the disappointing growth performance. The link between financial restrictions and investment decisions, however, has not been solidly verified in the Mexican literature. This paper intends to start filling this lacuna. Using recent microeconomic, firm-level data which is reasonably nationally representative, it tests the hypothesis that credit constraints have reduced investment among Mexican firms. Consistent with the general thrust of the literature, it is found that indeed financial restrictions have reduced the investment carried out by Mexican firms. The result holds under different econometric estimations.