Testing the efficiency market hypothesis for the colombian stock market
One of the basic assumptions of asset pricing models (CAPM and APT) is the efficiency of markets. This paper seeks to prove this requirement in its weak form, both for the General Index of the Stock Exchange of Colombia and for the Colombian market´s most representative assets. To this end, differen...
- Autores:
-
Duarte-Duarte, Juan Benjamín
Mascareñas Pérez-Iñigo, Juan Manuel
Sierra-Suárez, Katherine Julieth
- Tipo de recurso:
- Article of journal
- Fecha de publicación:
- 2014
- Institución:
- Universidad Nacional de Colombia
- Repositorio:
- Universidad Nacional de Colombia
- Idioma:
- spa
- OAI Identifier:
- oai:repositorio.unal.edu.co:unal/71910
- Acceso en línea:
- https://repositorio.unal.edu.co/handle/unal/71910
http://bdigital.unal.edu.co/36382/
- Palabra clave:
- efficient-market hypothesis
random walk
auto-regression
run test
BDS test
LB test and Bartlett test
- Rights
- openAccess
- License
- Atribución-NoComercial 4.0 Internacional
| Summary: | One of the basic assumptions of asset pricing models (CAPM and APT) is the efficiency of markets. This paper seeks to prove this requirement in its weak form, both for the General Index of the Stock Exchange of Colombia and for the Colombian market´s most representative assets. To this end, different statistical methods are implemented to show that stock patterns do not follow a normal distribution pattern. Additionally, when testing the Colombian efficiency market through a series of runs, BDS, LB and Bartlett test, there is no evidence of randomness in the main financial assets except Ecopetrol. Moreover, in the specific case of IGBC there is an improvement in market efficiency from 2008 to 2010, period that coincides with the onset of the global economic crisis. |
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