Comprobación de la eficiencia débil en los principales mercados financieros latinoamericanos
- Juan Benjamín Duarte Duarte 1
- Juan Manuel Mascareñs Pérez-Iñigo 2
- 1 Universidad Industrial de Santander, Bucaramanga, Colombia
- 2 Universidad Complutense de Madrid, Madrid, España
ISSN: 0123-5923
Year of publication: 2014
Volume: 30
Issue: 133
Pages: 365-375
Type: Article
More publications in: Estudios Gerenciales: Journal of Management and Economics for Iberoamerica
Abstract
This paper aims to test weak-form efficiency in the top five Latin American stock markets, using two approaches. Firstly, by evaluating the normality of the series using basic statistics, then by using the Jarque-Bera test and Chi-Square goodness of fit test, contrasting the RW1 (Runs test and BDS test), RW2 (Alexander filters with genetic algorithms) and RW3 (Ljung-Box test and Bartlett Interval) of the random walk (RW) of the assets. It was found that the five major Latin American economies studied have experienced a change from non-efficiency to market efficiency in recent years, according to the following chronological order: Mexico (2007), Brazil (2008), Colombia (2008), Chile (2011) and Peru (2012).