THE VOLATILITY OF GLOBALIZED FINANCIAL MARKETS: IMPACT ON THE STOCK EXCHANGE OF LIMA - PERU
DOI:
https://doi.org/10.15381/quipu.v25i47.13808Keywords:
Volatility, heteroscedasticity, profitability, garchAbstract
The study of the profitability´s volatility of the of international financial markets and its impact on the profitability of the Lima Stock Exchange is very important for the agents that take part in the markets: Stock market investors. The study of stationarity verification of the different stock markets´ profitability and the study of conditioned volatility is just as important for investors. According to the behavior showed through the indicators, the investors have a tool to qualify their decisions in the conformation of their portfolios of investment in risky financial assets. The objective of the investigation is to determine the type of profitability´s volatility of the LSE and the impacts it receives from the other global financial markets. The daily data has been collected by INDEX and later from the series, to obtain the daily profitability, and through the statistical processing of the collected data, the tests that have been used to determine the autoregressive model and conditioned by modeling heteroscedasticity ARCH (1) and GARCH (1,1) and the Dickey - Fuller test for unit root to qualify the stationarity of the series and on the other graphical and using the correlation matrix showing the incidences among various global financial markets.Downloads
Downloads
Published
Issue
Section
License
Copyright (c) 2017 Pedro Pablo Chambi Condori
![Creative Commons License](http://i.creativecommons.org/l/by-nc-sa/4.0/88x31.png)
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
AUTHORS RETAIN THEIR RIGHTS:
a. Authors retain their trade mark rights and patent, and also on any process or procedure described in the article.
b. Authors retain their right to share, copy, distribute, perform and publicly communicate their article (eg, to place their article in an institutional repository or publish it in a book), with an acknowledgment of its initial publication in Quipukamayoc .
c. Authors retain theirs right to make a subsequent publication of their work, to use the article or any part thereof (eg a compilation of his papers, lecture notes, thesis, or a book), always indicating the source of publication (the originator of the work, journal, volume, number and date).