eda Estudios de Administración Estud. adm. (En línea) 0717-0653 0719-0816 Universidad de Chile. Facultad de Economía y Negocios. Departamento de Administración 10.5354/0719-0816.2019.55403 Artículos Non-linearity in financial series: transitory or permanent? No linealidad en series financieras: ¿transitoria o permanente? Espinosa M. Christian E. 1 Gorigoitía Juan 1 Maquieira Carlos 2 Universidad de Santiago de Chile, Facultad de Administración y Economía Universidad de Santiago de Chile Universidad de Santiago de Chile Chile christian.espinosa.m@usach.cl juan.gorigoitia@usach.cl Universidad del Pacífico, Escuela de Posgrado Universidad del Pacífico Universidad del Pacífico Chile carpat.villa@gmail.com Jan-June 2019 26 1 3 15 Este es un artículo publicado en acceso abierto bajo una licencia Creative Commons Abstract:

In this article we present evidence that non-linear episodes in financial series are more permanent than transitory, while showing different behaviors depending on the market analyzed, which would indicate that they are not completely synchronized. On the other hand, the size of the window for detecting non-linear episodes has an impact on the number of non-linear windows found, as well as the percentage of non-linear windows with respect to the total number of windows, confirming a window size effect. The results strongly invalidate the efficient markets hypothesis and forcefully explain the impossibility of predicting their future values.

 Resumen:

En este artículo presentamos evidencia de que los episodios de no linealidad en las series financieras son más permanentes que transitorios. Al mismo tiempo, estos episodios muestran diferentes comportamientos según el mercado analizado, lo que indicaría que no están completamente sincronizados. Por otro lado, el tamaño de la ventana para detectar episodios no lineales afecta el número de ventanas no lineales encontradas, así como el porcentaje de ventanas no lineales con respecto al número total de ventanas, lo que confirma el efecto del tamaño de la ventana. Los resultados invalidan fuertemente la hipótesis de mercados eficientes y explican con fuerza la incapacidad de predecir sus valores futuros.

 Keywords: Hinich Test Rolling Method Stock Indices Window Size Effect Palabras clave: Prueba de Hinich Modelo Rolling Índices accionarios Efecto de tamaño de ventana

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Declaración de conflicto de interés

Los autores del presente manuscrito manifiestan que no existen conflictos de interés con ninguna entidad o institución, ni de carácter personal en esta publicación.

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