Econometric analysis of the Colombian oil sector from the perspective of the market efficiency hypothesis [Análisis econométrico del sector petrolero colombiano desde la perspectiva de la hipótesis de eficiencia de mercado]

A study on the Market Efficiency Theory in its weak and semi-strong form, for oil companies listed on the Colombia Stock Exchange is done, considering the effect of WTI in these. The article shows that only profitability series of Ecopetrol can be considered as random walk through a further transfor...

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Fecha de publicación:: 2017

Institución:: Universidad de Medellín

Repositorio:: Repositorio UDEM

Idioma:: por

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network_acronym_str	REPOUDEM2
network_name_str	Repositorio UDEM
repository_id_str
dc.title.spa.fl_str_mv	Econometric analysis of the Colombian oil sector from the perspective of the market efficiency hypothesis [Análisis econométrico del sector petrolero colombiano desde la perspectiva de la hipótesis de eficiencia de mercado]
title	Econometric analysis of the Colombian oil sector from the perspective of the market efficiency hypothesis [Análisis econométrico del sector petrolero colombiano desde la perspectiva de la hipótesis de eficiencia de mercado]
spellingShingle	Econometric analysis of the Colombian oil sector from the perspective of the market efficiency hypothesis [Análisis econométrico del sector petrolero colombiano desde la perspectiva de la hipótesis de eficiencia de mercado] ARMA-GARCH model Asset pricing Market efficiency
title_short	Econometric analysis of the Colombian oil sector from the perspective of the market efficiency hypothesis [Análisis econométrico del sector petrolero colombiano desde la perspectiva de la hipótesis de eficiencia de mercado]
title_full	Econometric analysis of the Colombian oil sector from the perspective of the market efficiency hypothesis [Análisis econométrico del sector petrolero colombiano desde la perspectiva de la hipótesis de eficiencia de mercado]
title_fullStr	Econometric analysis of the Colombian oil sector from the perspective of the market efficiency hypothesis [Análisis econométrico del sector petrolero colombiano desde la perspectiva de la hipótesis de eficiencia de mercado]
title_full_unstemmed	Econometric analysis of the Colombian oil sector from the perspective of the market efficiency hypothesis [Análisis econométrico del sector petrolero colombiano desde la perspectiva de la hipótesis de eficiencia de mercado]
title_sort	Econometric analysis of the Colombian oil sector from the perspective of the market efficiency hypothesis [Análisis econométrico del sector petrolero colombiano desde la perspectiva de la hipótesis de eficiencia de mercado]
dc.contributor.affiliation.spa.fl_str_mv	Pérez, C.L., Universidad de Medellín, Colombia Arango, M.A., Universidad de Medellín, Universidad Nacional de Colombia, Colombia Hernández, J.D., Universidad Eafit, Colombia
dc.subject.keyword.eng.fl_str_mv	ARMA-GARCH model Asset pricing Market efficiency
topic	ARMA-GARCH model Asset pricing Market efficiency
description	A study on the Market Efficiency Theory in its weak and semi-strong form, for oil companies listed on the Colombia Stock Exchange is done, considering the effect of WTI in these. The article shows that only profitability series of Ecopetrol can be considered as random walk through a further transformation using the WTI in the model, but in the other assets there is no Market Efficiency in its weak form. Stable models in mean and variance for assets and additional models including the performance of WTI as a variable within models of actions were found, showing signs of market efficiency in its semi-strong form. Since then it is not possible to demonstrate efficiency for all actions, for purposes of this paper concludes that the Colombian market presents anomalies.
publishDate	2017
dc.date.accessioned.none.fl_str_mv	2017-12-19T19:36:49Z
dc.date.available.none.fl_str_mv	2017-12-19T19:36:49Z
dc.date.created.none.fl_str_mv	2017
dc.type.eng.fl_str_mv	Article
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dc.type.driver.none.fl_str_mv	info:eu-repo/semantics/article
dc.identifier.issn.none.fl_str_mv	7981015
dc.identifier.uri.none.fl_str_mv	http://hdl.handle.net/11407/4348
dc.identifier.reponame.spa.fl_str_mv	reponame:Repositorio Institucional Universidad de Medellín
dc.identifier.instname.spa.fl_str_mv	instname:Universidad de Medellín
identifier_str_mv	7981015 reponame:Repositorio Institucional Universidad de Medellín instname:Universidad de Medellín
url	http://hdl.handle.net/11407/4348
dc.language.iso.none.fl_str_mv	por
language	por
dc.relation.isversionof.spa.fl_str_mv	https://www.scopus.com/inward/record.uri?eid=2-s2.0-85013790422&partnerID=40&md5=0f9160ac41f5e2a058d4b066261bf919
dc.relation.ispartofes.spa.fl_str_mv	Espacios
dc.relation.references.spa.fl_str_mv	Agudelo, D.A., Gutiérrez, A., (2011) Anuncios macroeconómicos y mercados accionarios: El caso latinoamericano Macroeconomics and the stock market: The Case of Latin America, pp. 126-139 Arango, M.A., (2014) "Racionalidad Limitada en la toma de decisiones: De la teoría de la utilidad esperada a las finanzas conductuales." Finananzas y Modelación, 1 Arango, M.A., (2016) Model risk assessment projects in thermal power generation. Revista Espacios, 37 Carlos, J., Gutiérrez, M., Guti, M., Efecto dia en el mercado accionario colombiano: Una aproximacion no parametrica (2010) Borradores de Economia Chavez Fierro, R., (2015) Razones de la caída de los precios del petróleo Duarte Duarte, J.B., Mascareñas Pérez-Iñigo, J.M., Sierra Suárez, K.J., Testing the efficiency market hypothesis for the Colombian stock market (2014) Dyna, 81 (1), pp. 1-10 Fama, E.F., Random walk in stock market prices (1965) Financial Analysts Journal Fama, E.F., (1965) The Behavior of Stock-Market Prices, 38 (1), pp. 34-105. , http://links.jstor.org/sici?sici=0021-9398%2528196501%252938%253A1%253C34%253ATBOSP%253E2.0.CO%253B2-6 Fama, E.F., Efficient capital markets: A review of theory and empirical work (1970) THE JOURNAL OF FINANCE Fama, E.F., Market efficiency, Long-Term returns, and behavioral finance (1997) Journal of Financial Economics (2015) Informe de coyuntura económica Narayan, P.K., Liu, R., Westerlund, J., A GARCH model for testing market efficiency (2016) Journal of International Financial Markets, Institutions and Money, 41, pp. 121-138. , http://doi.org/10.1016/j.intfin.2015.12.008 Schwert, G.W., (2003) Anomalies and Market Efficiency
dc.rights.coar.fl_str_mv	http://purl.org/coar/access_right/c_16ec
rights_invalid_str_mv	http://purl.org/coar/access_right/c_16ec
dc.publisher.spa.fl_str_mv	Revista Espacios
dc.publisher.faculty.spa.fl_str_mv	Facultad de Ingenierías
dc.source.spa.fl_str_mv	Scopus
institution	Universidad de Medellín
repository.name.fl_str_mv	Repositorio Institucional Universidad de Medellin
repository.mail.fl_str_mv	repositorio@udem.edu.co
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spelling	2017-12-19T19:36:49Z2017-12-19T19:36:49Z20177981015http://hdl.handle.net/11407/4348reponame:Repositorio Institucional Universidad de Medellíninstname:Universidad de MedellínA study on the Market Efficiency Theory in its weak and semi-strong form, for oil companies listed on the Colombia Stock Exchange is done, considering the effect of WTI in these. The article shows that only profitability series of Ecopetrol can be considered as random walk through a further transformation using the WTI in the model, but in the other assets there is no Market Efficiency in its weak form. Stable models in mean and variance for assets and additional models including the performance of WTI as a variable within models of actions were found, showing signs of market efficiency in its semi-strong form. Since then it is not possible to demonstrate efficiency for all actions, for purposes of this paper concludes that the Colombian market presents anomalies.porRevista EspaciosFacultad de Ingenieríashttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85013790422&partnerID=40&md5=0f9160ac41f5e2a058d4b066261bf919EspaciosAgudelo, D.A., Gutiérrez, A., (2011) Anuncios macroeconómicos y mercados accionarios: El caso latinoamericano Macroeconomics and the stock market: The Case of Latin America, pp. 126-139Arango, M.A., (2014) "Racionalidad Limitada en la toma de decisiones: De la teoría de la utilidad esperada a las finanzas conductuales." Finananzas y Modelación, 1Arango, M.A., (2016) Model risk assessment projects in thermal power generation. Revista Espacios, 37Carlos, J., Gutiérrez, M., Guti, M., Efecto dia en el mercado accionario colombiano: Una aproximacion no parametrica (2010) Borradores de EconomiaChavez Fierro, R., (2015) Razones de la caída de los precios del petróleoDuarte Duarte, J.B., Mascareñas Pérez-Iñigo, J.M., Sierra Suárez, K.J., Testing the efficiency market hypothesis for the Colombian stock market (2014) Dyna, 81 (1), pp. 1-10Fama, E.F., Random walk in stock market prices (1965) Financial Analysts JournalFama, E.F., (1965) The Behavior of Stock-Market Prices, 38 (1), pp. 34-105. , http://links.jstor.org/sici?sici=0021-9398%2528196501%252938%253A1%253C34%253ATBOSP%253E2.0.CO%253B2-6Fama, E.F., Efficient capital markets: A review of theory and empirical work (1970) THE JOURNAL OF FINANCEFama, E.F., Market efficiency, Long-Term returns, and behavioral finance (1997) Journal of Financial Economics(2015) Informe de coyuntura económicaNarayan, P.K., Liu, R., Westerlund, J., A GARCH model for testing market efficiency (2016) Journal of International Financial Markets, Institutions and Money, 41, pp. 121-138. , http://doi.org/10.1016/j.intfin.2015.12.008Schwert, G.W., (2003) Anomalies and Market EfficiencyScopusEconometric analysis of the Colombian oil sector from the perspective of the market efficiency hypothesis [Análisis econométrico del sector petrolero colombiano desde la perspectiva de la hipótesis de eficiencia de mercado]Articleinfo:eu-repo/semantics/articlehttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1Pérez, C.L., Universidad de Medellín, ColombiaArango, M.A., Universidad de Medellín, Universidad Nacional de Colombia, ColombiaHernández, J.D., Universidad Eafit, ColombiaPérez C.L.Arango M.A.Hernández J.D.Universidad de Medellín, ColombiaUniversidad de Medellín, Universidad Nacional de Colombia, ColombiaUniversidad Eafit, ColombiaARMA-GARCH modelAsset pricingMarket efficiencyA study on the Market Efficiency Theory in its weak and semi-strong form, for oil companies listed on the Colombia Stock Exchange is done, considering the effect of WTI in these. The article shows that only profitability series of Ecopetrol can be considered as random walk through a further transformation using the WTI in the model, but in the other assets there is no Market Efficiency in its weak form. Stable models in mean and variance for assets and additional models including the performance of WTI as a variable within models of actions were found, showing signs of market efficiency in its semi-strong form. Since then it is not possible to demonstrate efficiency for all actions, for purposes of this paper concludes that the Colombian market presents anomalies.http://purl.org/coar/access_right/c_16ec11407/4348oai:repository.udem.edu.co:11407/43482020-05-27 18:59:32.623Repositorio Institucional Universidad de Medellinrepositorio@udem.edu.co

Econometric analysis of the Colombian oil sector from the perspective of the market efficiency hypothesis [Análisis econométrico del sector petrolero colombiano desde la perspectiva de la hipótesis de eficiencia de mercado]

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