COMPROBACIÓN DEL COMPORTAMIENTO CAÓTICO EN BOLSA DE VALORES DE COLOMBIA

Katherine Julieth Sierra Suárez; Juan Benjamín Duarte Duarte; Juan Manuel Mascareñas Pérez-Iñigo

doi:10.22490/25392786.1480

Vol. 2 (2013)

Published 2013-12-15

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Artículo

COMPROBACIÓN DEL COMPORTAMIENTO CAÓTICO EN BOLSA DE VALORES DE COLOMBIA

DOI: https://doi.org/10.22490/25392786.1480

Katherine Julieth Sierra Suárez Universidad Industrial de Santander-Colombia.

Juan Benjamín Duarte Duarte Universidad Industrial de Santander-Colombia.

Juan Manuel Mascareñas Pérez-Iñigo Universidad Complutense de Madrid-España.

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Abstract
References

La hipótesis de eficiencia en los mercados bursátiles es uno de los supuestos básicos de los modelos de valoración de activos, tales como el Capital Asset Pricing Model y Arbitrage Pricing Theory, y sostiene que no es posible predecir los precios de un activo financiero, dado que se comportan aleatoriamente. Contrariamente, la hipótesis de mercado fractal afirma que los precios tienen estructura caótica, y podrían ser predichos a partir de modelos no lineales, rechazando así la hipótesis de mercado eficiente e invalidando los supuestos de los modelos valoración de activos. Este trabajo busca evidenciar el comportamiento caótico en el mercado bursátil colombiano con el fin de rechazar o aceptar la hipótesis de mercado eficiente, usando metodologías como: gráficos de precios, gráficos de recurrencia, dimensión de correlación, coeficiente de Hurst, exponente de Lyapunov y el test de Brock, Decher y Scehinkman. Los resultados revelan que los activos muestran indicios de comportamiento caótico para periodos al alza y aleatorio para periodos a la baja, apoyando así la hipótesis de mercado fractal. Estos hallazgos podrían respaldar el uso de modelos no lineales para la predicción de los precios en los periodos al alza y rechazar la eficiencia del mercado bursátil colombiano.

keywords: Teoría de caos, Hipótesis de Mercado Eficiente, Hipótesis de Mercado Fractal, Modelos Autorregresivos. Clasificación JEL, C01, C22, D52, G14

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How to Cite

Sierra Suárez, K. J., Duarte Duarte, J. B., & Mascareñas Pérez-Iñigo, J. M. (2013). COMPROBACIÓN DEL COMPORTAMIENTO CAÓTICO EN BOLSA DE VALORES DE COLOMBIA. Revista Estrategia Organizacional, 2, 41-54. https://doi.org/10.22490/25392786.1480

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