Published 2013-12-15
license
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.
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
license

COPYRIGHT AND OPEN ACCESS POLICY  

Journal

The journal provides immediate open access to its content, based on the principle of giving the public free access to research and contributing to a greater global exchange of knowledge.

Therefore, it publishes under the Creative Commons 4.0 Attribution – Non-Commercial - Share-alike (BY-NC-SA) license: Commercial use of the original work or of possible derived works is not allowed, the distribution of which must be performed with a license equal to that which regulates the original work. To see more go to: http://creativecommons.org/licenses/by-nc-sa/4.0/

The journal allows self-archiving after publication with the version edited by the journal, both on personal websites and institutional repositories of the same area of knowledge, as long as the journal is directly cited and the URL leading to the article is given in the journal's Web space. The journal does not request any kind of forfeit of the managed content.

For all management, the Revista Estrategia Organizacional adheres to the COPE Code of Conduct for Journal Editors along with some COPE Best Practices Guidelines. The journal’s Code of Ethics can be found at:

http://selloeditorial.unad.edu.co/images/Documentos/OJS/ECACEN/C%C3%B3digo_de_%C3%A9tica.pdf   

Author

The content of the article must be unpublished, it must not be in the process of evaluation by another institution, it must not have been distributed to third parties, there must be no legal or contractual limitation that prohibits the author from authorizing the use of their work in open access and in printed or digital form.

Obtaining reproduction rights for all graphical material (tables, figures, diagrams, photographs) is the responsibility of the authors. Therefore, they must send authorizations for the publication and use of this material.

Each author must sign the ‘Copyright Transfer Agreement’, transferring the rights to Universidad Nacional Abierta y A Distancia (UNAD) and the Revista Estrategia Organizacional.

The authors of the articles selected for publication must read and know the journal's code of ethics. In all cases, the Editor and Editorial Committee declare that the opinions expressed are the sole responsibility of the authors.

Preservation policy

Our journal preserves files through the servers of the UNAD newspaper library with the OJS platform. It has the PKP PLN tool that allows preserving the content of the journal regardless of where it is hosted. Thanks to the LOCKSS Private Network. The information can be expanded at: https://pkp.sfu.ca/2016/08/08/pkp-lockss-pln-update

Additionally, the journal has OAI-PMH interoperability protocols: Open Archives Initiative-Protocol for Metadata Harvesting. Details can be found at the following link: https://hemeroteca.unad.edu.co/index.php/revista-estrategica-organizacio/oai.

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
Almétricas
Metrics
Archivos descargados
264
Jan 2014Jul 2014Jan 2015Jul 2015Jan 2016Jul 2016Jan 2017Jul 2017Jan 2018Jul 2018Jan 2019Jul 2019Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023Jan 2024Jul 2024Jan 2025Jul 2025Jan 20269
|

PRIVACY STATEMENT: In accordance with the Personal Data Protection Law (Law 1581 of 2012), the names and email addresses managed by Revista Estrategia Organizacional will be used exclusively for the purposes stated by this journal and will not be made available for any other purpose or to any other individual. Manuscripts submitted to the publication are only accessible to the editorial team and external peer reviewers.

Design and implemented by