Análisis comparativo de eficiencia entre Brasil, México y Estados Unidos
This article seeks to contrast the weak form efficiency of the Brazilian, US, and Mexican stock indexes, based on the assumption that an efficient market is not predictable. With this goal in mind, we assessed predictability using runs tests and automatic variance ratio, in the 1995-2014 period. The...
- Autores:
-
Duarte-Duarte, Juan Benjamín
Sierra-Suárez, Katherine Julieth
Rueda-Ortiz, Víctor Alfonso
- Tipo de recurso:
- Article of journal
- Fecha de publicación:
- 2015
- Institución:
- Universidad Católica de Colombia
- Repositorio:
- RIUCaC - Repositorio U. Católica
- Idioma:
- spa
- OAI Identifier:
- oai:repository.ucatolica.edu.co:10983/17534
- Acceso en línea:
- https://hdl.handle.net/10983/17534
- Palabra clave:
- TEST DE RACHAS
RATIO DE VARIANZA AUTOMÁTICO
EFICIENCIA DE MERCADOS
- Rights
- openAccess
- License
- Derechos Reservados - Universidad Católica de Colombia, 2015
| Summary: | This article seeks to contrast the weak form efficiency of the Brazilian, US, and Mexican stock indexes, based on the assumption that an efficient market is not predictable. With this goal in mind, we assessed predictability using runs tests and automatic variance ratio, in the 1995-2014 period. The results shed light on the fact that, in recent years, stock markets in Brazil and Mexico have gone from being non-efficient to being efficient. In contrast, the United States shows predictability at different time intervals. |
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