Reacción De Los Mercados Accionarios Latinoamericanos a Los Anuncios Macroeconomicos (Latin-American Stock Market's Reaction to Macroeconomic Announcements )

Spanish Abstract: Se presenta evidencia empirica sobre el efecto de los anuncios macroeconomicos de la inflacion y el PIB en rendimientos y volatilidad diarios de los mercados accionarios de seis paises latinoamericanos, empleando modelos de series de tiempo univariadas. Los efectos hallados de los anuncios sobre los rendimientos solo son significativos y en la direccion esperada en inflacion para Colombia y Peru, y en PIB, para Chile. Sin embargo, tambien se encuentran efectos en dias anteriores y posteriores a los anuncios, contradiciendo la hipotesis de eficiencia de mercado. Ademas, los dias de anuncios de la inflacion estan asociados a mayor volatilidad, pero los del PIB a menor.English Abstract: This paper shows empirical evidence of the effect of macroeconomic announcements (inflation and GDP) on returns, volatility and trading activity for the stock markets of Argentina, Brazil, Chile, Colombia, Mexico and Peru, using daily univariate time series models. Significant contemporaneous effects were found only for Colombia and Peru during inflation announcements and for Chile during GDP announcements. On the other hand, lagged and lead effects from announcements were found in most of the cases, contradicting market efficiency. Besides, inflation announcements are associated to higher volatility whereas those of GDP are to lower volatility for most of the countries.