Características estadísticas del índice general de la Bolsa de Valores de Colombia (IGBC) en sus primeros 10 años


  • Julio César Alonso Director del Centro de Investigación en Economía y Finanzas (CIENFI), Universidad Icesi, Departamento de Economía, Cali, Colombia
  • Giselle Torres Investigadora asistente, Universidad Icesi, Departamento de Economía, Cali, Colombia


IGBC, Heavy tail, Aggregational Gaussianity, Volatility clustering, Taylor effect


There are many studies published in the literature on stylized facts in financial time series. However, for the Colombian case there is only one work that documents the stylized facts of the returns. Alonso and Arcos (2006) documented the presence of four stylized facts in the exchange rate series and the principal Colombian Stock Exchange Index (IGBC), using a daily sample for the period from January 21, 1999 to April 31, 2005. The aim of this document is to present five stylized facts on the behavior of the IGBC returns in its first 10 years. Furthermore, a wider range of statistical test is used to support the existence of those stylized facts. Evidence is provided for the following stylized facts: I) no efficiency of the market; II) heavy tails of the distribution; III) aggregational Gaussianity; IV) volatility clustering and V) Taylor effect. In our case, the sample of the daily IGBC will be used for the period between July 3, 2001 and July 5, 2011.



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How to Cite

Alonso, J. C., & Torres, . G. . (2014). Características estadísticas del índice general de la Bolsa de Valores de Colombia (IGBC) en sus primeros 10 años. Journal of Economics, Finance and Administrative Science, 19(36), 45–54. Retrieved from