A test of the efficient market hypothesis with regard to the exchange rates and the yield to maturity in Colombia

This article investigates the informational efficiency of the Colombian stock market with regard to the information contained in the exchange rates as well as the yield to maturity. Since the underlying data is non-normal with time-varying volatility we make use of tests that are based on bootstrap...

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Autores:: Sarmiento Sabogal, Julio Alejandro
Hatemi J., Abdulnasser
Cayón Fallon, Edgardo

Tipo de recurso:: Article of investigation

Fecha de publicación:: 2016

Institución:: Colegio de Estudios Superiores de Administración

Repositorio:: Repositorio CESA

Idioma:: eng

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spelling	Sarmiento Sabogal, Julio Alejandroc31ea8e4-9874-40e0-bf5e-f20c33c9c2a7-1Hatemi J., Abdulnasser7bd3c0a8-c8c4-48a9-a486-773273fe51d4-1Cayón Fallon, Edgardobe27db6c-c045-4b3d-983d-c71aa93d1fe8-1Sarmiento Sabogal, Julio Alejandro [0000-0001-5986-4813]Hatemi J., Abdulnasser [0000-0002-6212-1292]Cayón Fallon, Edgardo [0000-0002-4113-5521]Sarmiento Sabogal, Julio Alejandro [57196465468]Hatemi J., Abdulnasser [6603559832]Cayón Fallon, Edgardo [56395390800]2023-06-21T22:23:09Z2023-06-21T22:23:09Z20161109-9526http://hdl.handle.net/10726/5113instname:Colegio de Estudios Superiores de Administración – CESAreponame:Biblioteca Digital – CESArepourl:https://repository.cesa.edu.co/2224-2899https://wseas.com/journals/articles.php?id=3609engWorld Scientific and Engineering Academy and Society (WSEAS)A test of the efficient market hypothesis with regard to the exchange rates and the yield to maturity in Colombiaarticlehttp://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articlehttp://purl.org/redcol/resource_type/ARThttp://purl.org/coar/version/c_71e4c1898caa6e32info:eu-repo/semantics/openAccessAbierto (Texto Completo)http://purl.org/coar/access_right/c_abf2This article investigates the informational efficiency of the Colombian stock market with regard to the information contained in the exchange rates as well as the yield to maturity. Since the underlying data is non-normal with time-varying volatility we make use of tests that are based on bootstrap simulations with leverage adjustments in order to create reliable critical values. The results show that neither the exchange rates nor the yield to maturity is causing the stock price index. This is interpreted as empirical support for the efficient market hypothesis in that the Colombian stock market is with regard to these two main variables.https://orcid.org/0000-0001-5986-4813https://orcid.org/0000-0002-6212-1292https://orcid.org/0000-0002-4113-5521https://www.scopus.com/authid/detail.uri?authorId=57196465468https://www.scopus.com/authid/detail.uri?authorId=6603559832https://www.scopus.com/authid/detail.uri?authorId=5639539080013321329WSEAS Transactions on Business and EconomicsEMHColombia Stock MarketGranger Causality10726/5113oai:repository.cesa.edu.co:10726/51132023-06-21 17:23:38.491metadata only accessBiblioteca Digital - CESAbiblioteca@cesa.edu.co
dc.title.eng.fl_str_mv	A test of the efficient market hypothesis with regard to the exchange rates and the yield to maturity in Colombia
title	A test of the efficient market hypothesis with regard to the exchange rates and the yield to maturity in Colombia
spellingShingle	A test of the efficient market hypothesis with regard to the exchange rates and the yield to maturity in Colombia EMH Colombia Stock Market Granger Causality
title_short	A test of the efficient market hypothesis with regard to the exchange rates and the yield to maturity in Colombia
title_full	A test of the efficient market hypothesis with regard to the exchange rates and the yield to maturity in Colombia
title_fullStr	A test of the efficient market hypothesis with regard to the exchange rates and the yield to maturity in Colombia
title_full_unstemmed	A test of the efficient market hypothesis with regard to the exchange rates and the yield to maturity in Colombia
title_sort	A test of the efficient market hypothesis with regard to the exchange rates and the yield to maturity in Colombia
dc.creator.fl_str_mv	Sarmiento Sabogal, Julio Alejandro Hatemi J., Abdulnasser Cayón Fallon, Edgardo
dc.contributor.author.none.fl_str_mv	Sarmiento Sabogal, Julio Alejandro Hatemi J., Abdulnasser Cayón Fallon, Edgardo
dc.contributor.orcid.none.fl_str_mv	Sarmiento Sabogal, Julio Alejandro [0000-0001-5986-4813] Hatemi J., Abdulnasser [0000-0002-6212-1292] Cayón Fallon, Edgardo [0000-0002-4113-5521]
dc.contributor.scopus.none.fl_str_mv	Sarmiento Sabogal, Julio Alejandro [57196465468] Hatemi J., Abdulnasser [6603559832] Cayón Fallon, Edgardo [56395390800]
dc.subject.proposal.none.fl_str_mv	EMH Colombia Stock Market Granger Causality
topic	EMH Colombia Stock Market Granger Causality
description	This article investigates the informational efficiency of the Colombian stock market with regard to the information contained in the exchange rates as well as the yield to maturity. Since the underlying data is non-normal with time-varying volatility we make use of tests that are based on bootstrap simulations with leverage adjustments in order to create reliable critical values. The results show that neither the exchange rates nor the yield to maturity is causing the stock price index. This is interpreted as empirical support for the efficient market hypothesis in that the Colombian stock market is with regard to these two main variables.
publishDate	2016
dc.date.issued.none.fl_str_mv	2016
dc.date.accessioned.none.fl_str_mv	2023-06-21T22:23:09Z
dc.date.available.none.fl_str_mv	2023-06-21T22:23:09Z
dc.type.none.fl_str_mv	article
dc.type.coar.fl_str_mv	http://purl.org/coar/resource_type/c_6501
dc.type.coar.none.fl_str_mv	http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.driver.none.fl_str_mv	info:eu-repo/semantics/article
dc.type.redcol.none.fl_str_mv	http://purl.org/redcol/resource_type/ART
dc.type.coarversion.none.fl_str_mv	http://purl.org/coar/version/c_71e4c1898caa6e32
format	http://purl.org/coar/resource_type/c_2df8fbb1
dc.identifier.issn.none.fl_str_mv	1109-9526
dc.identifier.uri.none.fl_str_mv	http://hdl.handle.net/10726/5113
dc.identifier.instname.none.fl_str_mv	instname:Colegio de Estudios Superiores de Administración – CESA
dc.identifier.reponame.none.fl_str_mv	reponame:Biblioteca Digital – CESA
dc.identifier.repourl.none.fl_str_mv	repourl:https://repository.cesa.edu.co/
dc.identifier.eissn.none.fl_str_mv	2224-2899
dc.identifier.url.none.fl_str_mv	https://wseas.com/journals/articles.php?id=3609
identifier_str_mv	1109-9526 instname:Colegio de Estudios Superiores de Administración – CESA reponame:Biblioteca Digital – CESA repourl:https://repository.cesa.edu.co/ 2224-2899
url	http://hdl.handle.net/10726/5113 https://wseas.com/journals/articles.php?id=3609
dc.language.iso.none.fl_str_mv	eng
language	eng
dc.relation.citationvolume.none.fl_str_mv	13
dc.relation.citationstartpage.none.fl_str_mv	321
dc.relation.citationendpage.none.fl_str_mv	329
dc.relation.ispartofjournal.none.fl_str_mv	WSEAS Transactions on Business and Economics
dc.rights.accessrights.none.fl_str_mv	info:eu-repo/semantics/openAccess
dc.rights.local.none.fl_str_mv	Abierto (Texto Completo)
dc.rights.coar.none.fl_str_mv	http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv	openAccess
rights_invalid_str_mv	Abierto (Texto Completo) http://purl.org/coar/access_right/c_abf2
dc.publisher.none.fl_str_mv	World Scientific and Engineering Academy and Society (WSEAS)
publisher.none.fl_str_mv	World Scientific and Engineering Academy and Society (WSEAS)
institution	Colegio de Estudios Superiores de Administración
repository.name.fl_str_mv	Biblioteca Digital - CESA
repository.mail.fl_str_mv	biblioteca@cesa.edu.co
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A test of the efficient market hypothesis with regard to the exchange rates and the yield to maturity in Colombia

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