Katherine Sierra

Katherine Sierra
Industrial University of Santander | UIS · Industrial and Employer Studies

Master of Engineering

About

22
Publications
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36
Citations

Publications

Publications (22)
Article
Full-text available
Uno de los supuestos básicos de los modelos de valoración de activos (CAPM y APT), es la eficiencia de los mercados. El presente trabajo busca comprobar este requisito en su forma débil, tanto al Índice General de la Bolsa de Valores de Colombia como a las acciones más representativas del mercado colombiano. Para tal fin se comprueba por diferentes...
Article
Full-text available
Efficient markets are those in which it is not possible to predict the returns on assets. However, the adaptive markets hypothesis (AMH) states that efficiency is not a static feature of markets, but varies in time according to market conditions and the behavior of its agents. This paper seeks to test the predictability of the Colombian market, usi...
Article
Full-text available
This article seeks to contrast the weak form efficiency of the Brazilian, US, and Mexican stock indexes, based on the assumption that an efficient market is not predictable. With this goal in mind, we assessed predictability using runs tests and automatic variance ratio, in the 1995-2014 period. The results shed light on the fact that, in recent ye...
Article
Full-text available
This paper assesses the existence of the size effect on the most important stock markets in Latin America (Argentina, Brazil, Chile, Colombia, Mexico and Peru) for the period between 2002 and 2012, using the cross-section contrast methodology of the size effect in the CAPM context. Results show that there is reversed effect in some of the Latin Ame...
Article
Full-text available
Este artículo analizó los modelos de negocio en internet y la ventaja competitiva de las empresas del subsector transporte intermunicipal de pasajeros en el área metropolitana de Bucaramanga. El objetivo principal es conocer la posición actual de cada modelo según la teoría de Faisal Hoque, y así brindar tácticas de mejora a las organizaciones. El...
Conference Paper
Full-text available
The objective of this article is to evaluate the rationality in the stock markets based on behavioral biases, using the main indexes of the stock exchanges of Brasil (IBOVESPA), México (IPC), Chile (IPSA) y Colombia (COLCAP), during the period between January 3, 2000 to August 17, 2016, divided into three sub periods: pre crisis (2000 - 2008), cris...
Article
Full-text available
The main objective of this article is to develop a Cellular Automaton Model in which more than one type of stockbroker interact, and where the use and exchange of information between investors describe the complexity measured through the estimation of the Hurst exponent. This exponent represents an efficient or random market when it has a value equ...
Conference Paper
Full-text available
El objetivo del presente artículo es evaluar la racionalidad en los mercados bursátiles a partir de sesgos del comportamiento, utilizando los principales índices de las bolsas de valores de Colombia (Colcap), Estados Unidos (S&P 500) y España (Ibex 35), durante el periodo comprendido entre enero de 2000 y agosto de 2016, dividido en tres sub period...
Article
Full-text available
El objetivo principal de este artículo es desarrollar un modelo autómata celular en el que interactúen más de un tipo de agentes bursátiles, donde el uso y el intercambio de información entre los inversores describen la complejidad medida a través de la estimación del coeficiente de Hurst, que representa un mercado eficiente o aleatorio al tener un...
Article
Full-text available
El objetivo principal del presente trabajo es evaluar las metodologías para la construcción de mercados bursátiles artificiales, determinando, primero, un modelo generador de precios para el mercado colombiano; segundo, simulando el modelo autómata conductual propuesto por Fan en 2009; y, tercero, aplicando un modelo racional propuesto mediante la...
Article
Full-text available
This research investigates whether the major stock markets in Latin America (Brazil, Mexico, Chile, Colombia, Peru and Argentina) exhibited herd behavior over the period January 2, 2002 to June 30, 2014, using the variation in the returns overall and by sector in the most representative stock market index in each country, using the model proposed b...
Article
Full-text available
This research investigates whether the major stock markets in Latin America (Brazil, Mexico, Chile, Colombia, Peru and Argentina) exhibited herd behavior over the period January 2, 2002 to June 30, 2014, using the variation in the returns overall and by sector in the most representative stock market index in each country, using the model proposed b...
Preprint
Full-text available
The primary objective of this paper is to show the methodology assessment to construct artificial stock markets, determining: first, a Colombian price generator model; second, modifying the cellular automaton model developed by Fan in 2009; third, building a rational automaton model, adapting the Alexander Filters methodology. The models are compar...
Article
Full-text available
In recent years the behavior of the agents and what motivates them to make their investment decisions; ithas been the focus of study by many researchers in the fields of economics, finance and related fields. Withthis in mind, this article seeks to test empirically one of these behaviors, the herd effect, using the modelsproposed by Christie y Huan...
Article
Full-text available
In recent years the behavior of the agents and what motivates them to make their investment decisions; it has been the focus of study by many researchers in the fields of economics, finance and related fields. With this in mind, this article seeks to test empirically one of these behaviors, the herd effect, using the models proposed by Christie y H...
Conference Paper
Full-text available
RESUMEN Cuando los mercados se comportan eficientemente, los precios de sus activos siguen una caminata aleatoria y dependen solamente de la información disponible, por tanto no es posible predecir sus precios. Este trabajo tiene como propósito evaluar la predictibilidad del mercado colombiano, para verificar su eficiencia; para este propósito se u...
Conference Paper
Full-text available
El presente trabajo analiza la existencia de burbujas financieras en el mercado bursátil de Colombia, específicamente en el Índice General de la Bolsa de Valores de Colombia (IGBC). Usando como metodología la verificación de estacionariedad y cointegración siguiendo a Blanchard (1979), durante un periodo de 14 años (enero de 2000 a marzo de 2014)....
Article
Full-text available
The efficient market hypothesis states that financial asset returns follow a random walk and depend on the information made available to the market instantly, therefore they can not be predicted. On the other hand, the Fractal market hypothesis says that prices depend of each behavior investor and his investment horizon, producing chaotic behavior...
Article
Full-text available
The efficient stock market hypothesis is one of the basic assumptions of asset pricing models such as the Capital Asset Pricing Model and Arbitrage Pricing Theory and states that financial asset prices can not be predicted since they behave randomly. Conversely, the fractal market hypothesis states that prices have chaotic structure and could be pr...
Article
This paper assesses the existence of the size effect on the most important stock markets in Latin America (Argentina, Brazil, Chile, Colombia, Mexico and Peru) for the period between 2002 and 2012, using the cross-section contrast methodology of the size effect in the CAPM context. Results show that there is reversed effect in some of the Latin Ame...
Conference Paper
Full-text available
In this paper we evaluate the Mexico stock market efficiency from empirical testing of anomalies, both the Price and Quotes Index (IPC) and their three main actions (AMXL, WALMEXV and FEMSAUBD). The methodology focuses on estimating binary multivariate regression models for the period between January 2002 and April 2013. This work differs from prev...
Conference Paper
Full-text available
In this paper it fits ARIMA and GARCH models, for the major financial series Colombian stock market,until those which do not exhibit significant autocorrelation in the residuals. This, in order to allow the use of verification tools chaotic behavior in stock markets, which implies non-linearity in prices and dependence in the short term compared to...

Projects

Project (1)
Project
Evaluar la eficiencia de los mercados desde diferentes metodologías