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...

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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)
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network_acronym_str CESA2
network_name_str Repositorio CESA
repository_id_str
spelling Hernández Gamarra, Katerin6c631ddb-928d-4075-8dd1-e64688522331600Sarmiento Sabogal, Julio Alejandroc31ea8e4-9874-40e0-bf5e-f20c33c9c2a7600Cayón Fallon, Edgardobe27db6c-c045-4b3d-983d-c71aa93d1fe8600Sarmiento Sabogal, Julio Alejandro [0000-0001-5986-4813]Cayón Fallon, Edgardo [0000-0002-4113-5521]Hernández Gamarra, Katerin [56596654800]Sarmiento Sabogal, Julio Alejandro [57196465468]Cayón Fallon, Edgardo [56395390800]2023-06-21T22:23:10Z2023-06-21T22:23:10Z2015-04-16http://hdl.handle.net/10726/5123instname:Colegio de Estudios Superiores de Administración – CESAreponame:Biblioteca Digital – CESArepourl:https://repository.cesa.edu.co/2146-4553https://www.econjournals.com/index.php/ijeep/article/view/1149engEconjournalsA test of the market efficiency of the Integrated Latin American Market (MILA) index in relation to changes in the price of oilarticlehttp://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_abf2The 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 empirical evidence that there is a Granger causality relationship between the price of oil and other commodities and the stocks that compose the MILA Index. Therefore, it is possible to conclude that based on the evidence, it is not possible to create an arbitrage strategy based on the price of oil and copper to achieve abnormal returns in the MILA Stock Market. In order to test for the Granger causality between the underlying variables, we used a leveraged bootstrap test developed by Hatemi-J (2012).https://orcid.org/0000-0001-5986-4813https://orcid.org/0000-0002-4113-5521https://www.scopus.com/authid/detail.uri?authorId=56596654800https://www.scopus.com/authid/detail.uri?authorId=57196465468https://www.scopus.com/authid/detail.uri?authorId=5639539080052534539International Journal of Energy Economics and PolicyMarket efficiencyAsymmetric Granger causalityAsset-pricing modelsMILA IndexOil prices10726/5123oai:repository.cesa.edu.co:10726/51232023-09-29 10:20:33.031metadata only accessBiblioteca Digital - CESAbiblioteca@cesa.edu.co
dc.title.eng.fl_str_mv A test of the market efficiency of the Integrated Latin American Market (MILA) index in relation to changes in the price of oil
title A test of the market efficiency of the Integrated Latin American Market (MILA) index in relation to changes in the price of oil
spellingShingle A test of the market efficiency of the Integrated Latin American Market (MILA) index in relation to changes in the price of oil
Market efficiency
Asymmetric Granger causality
Asset-pricing models
MILA Index
Oil prices
title_short A test of the market efficiency of the Integrated Latin American Market (MILA) index in relation to changes in the price of oil
title_full A test of the market efficiency of the Integrated Latin American Market (MILA) index in relation to changes in the price of oil
title_fullStr A test of the market efficiency of the Integrated Latin American Market (MILA) index in relation to changes in the price of oil
title_full_unstemmed A test of the market efficiency of the Integrated Latin American Market (MILA) index in relation to changes in the price of oil
title_sort A test of the market efficiency of the Integrated Latin American Market (MILA) index in relation to changes in the price of oil
dc.creator.fl_str_mv Hernández Gamarra, Katerin
Sarmiento Sabogal, Julio Alejandro
Cayón Fallon, Edgardo
dc.contributor.author.spa.fl_str_mv Hernández Gamarra, Katerin
Sarmiento Sabogal, Julio Alejandro
Cayón Fallon, Edgardo
dc.contributor.orcid.none.fl_str_mv Sarmiento Sabogal, Julio Alejandro [0000-0001-5986-4813]
Cayón Fallon, Edgardo [0000-0002-4113-5521]
dc.contributor.scopus.none.fl_str_mv Hernández Gamarra, Katerin [56596654800]
Sarmiento Sabogal, Julio Alejandro [57196465468]
Cayón Fallon, Edgardo [56395390800]
dc.subject.proposal.none.fl_str_mv Market efficiency
Asymmetric Granger causality
Asset-pricing models
MILA Index
Oil prices
topic Market efficiency
Asymmetric Granger causality
Asset-pricing models
MILA Index
Oil prices
description 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 empirical evidence that there is a Granger causality relationship between the price of oil and other commodities and the stocks that compose the MILA Index. Therefore, it is possible to conclude that based on the evidence, it is not possible to create an arbitrage strategy based on the price of oil and copper to achieve abnormal returns in the MILA Stock Market. In order to test for the Granger causality between the underlying variables, we used a leveraged bootstrap test developed by Hatemi-J (2012).
publishDate 2015
dc.date.issued.none.fl_str_mv 2015-04-16
dc.date.accessioned.none.fl_str_mv 2023-06-21T22:23:10Z
dc.date.available.none.fl_str_mv 2023-06-21T22:23:10Z
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.uri.none.fl_str_mv http://hdl.handle.net/10726/5123
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 2146-4553
dc.identifier.url.none.fl_str_mv https://www.econjournals.com/index.php/ijeep/article/view/1149
url http://hdl.handle.net/10726/5123
https://www.econjournals.com/index.php/ijeep/article/view/1149
identifier_str_mv instname:Colegio de Estudios Superiores de Administración – CESA
reponame:Biblioteca Digital – CESA
repourl:https://repository.cesa.edu.co/
2146-4553
dc.language.iso.none.fl_str_mv eng
language eng
dc.relation.citationvolume.none.fl_str_mv 5
dc.relation.citationissue.none.fl_str_mv 2
dc.relation.citationstartpage.none.fl_str_mv 534
dc.relation.citationendpage.none.fl_str_mv 539
dc.relation.ispartofjournal.none.fl_str_mv International Journal of Energy Economics and Policy
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 Econjournals
publisher.none.fl_str_mv Econjournals
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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