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Resumen
El efecto Día-de-la-Semana (EDdlS) se refiere a desviaciones consistentes de los precios de activos financieros en algunos días específicos de la semana. Su presencia indica una utilización ineficiente de la información por parte del mercado.
En este trabajo investigamos la presencia y evolución del EDdlS en Colombia, empleando estimación bayesiana eficiente y datos del indicador COLCAP desde 2008 a 2024. De esta manera actualizamos los datos y la metodología con respecto a trabajos anteriores.
Encontramos un EDdlS los días miércoles, en los cuales los retornos promedio se muestran en general significativamente mayores que en los demás días. Éste efecto, si bien es persistente, no es consistente en el tiempo. Esta evidencia se suma a la de una larga lista de autores que no sustenta la hipótesis de mercados eficientes.
Citas
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