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The Anáhuac journal
versión On-line ISSN 2683-2690versión impresa ISSN 1405-8448
Resumen
VALENCIA HERRERA, Humberto. ¿Impacta el sentimiento estadounidense de las tasas de interés en los fondos latinoamericanos negociados en bolsa (ETF)?. The Anáhuac j. [online]. 2024, vol.24, n.1, pp.92-113. Epub 26-Ago-2024. ISSN 2683-2690. https://doi.org/10.36105/theanahuacjour.2024v24n1.04.
This article examines the dependence of Exchange Traded Fund (ETF) returns in six Latin American countries on interest rate and the Federal Reserve (FED) sentiment in the United States (US) news, during the period 2022 to 2023. For each country, robust regressions with zero to two lags for positive and negative sentiments, and previous returns were used. It was found that sentiment is statistically significant for some lags of ETF returns in Brazil, Chile, and Peru, in both, local currency and US dollar. The Latin American 40 ETF also depends on sentiment in US currency. Furthermore, a moment effect on returns in US currency and a mean reverting effect in local currency was identified. A panel data model for the considered countries’ ETFs with random effects and zero to two lags in the change of sentiment shows that all considered changes in sentiment are statistically significant for returns, except for the change in positive sentiment without lags.
Palabras llave : sentiment; ETF; returns; interest rate; Latin America.