Statistical Characteristics of the First 10 Years of the Colombian Stock Exchange Index (IGBC) [Características estadísticas del índice general de la Bolsa de Valores de Colombia (IGBC) en sus primeros 10 años]

Publicado en

  • Journal of Economics, Finance and Administrative Science


  • There are many studies published in the literature on stylized facts in financial time series. However, for the Colombian case there is only one work that documents the stylized facts of the returns. Alonso and Arcos (2006) documented the presence of four stylized facts in the exchange rate series and the principal Colombian Stock Exchange Index (IGBC), using a daily sample for the period from January 21, 1999 to April 31, 2005. The aim of this document is to present ?ve stylized facts on the behavior of the IGBC returns in its first 10 years. Furthermore, a wider range of statistical test is used to support the existence of those stylized facts. Evidence is provided for the following stylized facts: I) no ef?ciency of the market; II) heavy tails of the distribution; III) aggregational Gaussianity; IV) volatility clustering and V) Taylor effect. In our case, the sample of the daily IGBC will be used for the period between July 3, 2001 and July 5, 2011. © 2013 Universidad ESAN.

fecha de publicación

  • 2014

Líneas de investigación

  • Colas pesadas
  • Efecto Taylor
  • IGBC
  • Normalidad agregada
  • Volatilidad no constante y agrupada

Página inicial

  • 45

Última página

  • 54


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