Documentos de trabajo
Anuncios macroeconómicos y mercados Accionarios: El caso Latinoamericano
Fecha
2011-12-15Autor
Agudelo, Diego A.
Gutierrez, Angelo
Institución
Resumen
Do stock markets reflect changes on the macroeconomic fundamentals? . The semi-strong form of the Efficient market
hypothesis (HEM - Fama 1970) asserts that stock prices should react immediately to the surprise content on announcements
of macroeconomic variables, without predictable over or under reaction. We test this in the six main Latin-American equity
markets: Argentina, Brazil, Chile, Colombia, México and Perú, for the announcements of Consumer Price Inflation, Central
Bank interest rate, GDP growth, Trade Balance and Unemployment rate. Following Flannery and Protopapadakis (2002),
we estimate the effect of the surprises of such announcements, using time series models of conditional volatility, controlling
of the exchange rate and international stock markets. We found that the effects on the market returns are significant and with
the expected sign only for the CPI in Mexico, for the interest rate in Chile and Colombia, and for Unemployment on those
three markets. Moreover, in some cases the stock markets incorporate the announcement with a lag, whereas in others, they
react to the announcement rather than to the surprise, in conflict with the HEM. We conclude that the Latin-American stock
markets react only partially to the macroeconomic announcements and not fully incorporating the new information in an
efficient manner.