A test of the market efficiency of the Integrated Latin American Market (MILA) index in relation to changes in the price of oil

The purpose of this paper is to study if there is a Granger causality relationship between the price of oil and the prices of the stocks that compose the Integrated Latin American Market (MILA) Index. Our analysis found that from the perspective of the efficient market hypothesis (EMH), there is no...

Full description

Autores:

Hernández Gamarra, Katerin
Sarmiento Sabogal, Julio Alejandro
Cayón Fallon, Edgardo

Tipo de recurso:

Article of investigation

Fecha de publicación:

2015

Institución:

Colegio de Estudios Superiores de Administración

Repositorio:

Repositorio CESA

Idioma:

eng

OAI Identifier:

oai:repository.cesa.edu.co:10726/5123

Acceso en línea:

http://hdl.handle.net/10726/5123
https://www.econjournals.com/index.php/ijeep/article/view/1149

Palabra clave:

Market efficiency
Asymmetric Granger causality
Asset-pricing models
MILA Index
Oil prices

Rights

openAccess

License

Abierto (Texto Completo)