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
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Atribución-NoComercial 4.0 InternacionalDerechos reservados - Universidad Nacional de Colombiahttp://creativecommons.org/licenses/by-nc/4.0/info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2Duarte-Duarte, Juan Benjamínfe0a9384-0e01-475e-8854-cd57a3a6289f300Mascareñas Pérez-Iñigo, Juan Manuel36e7b4d8-2424-4e37-85e7-f466ad2eea96300Sierra-Suárez, Katherine Julieth6e8eeecd-f17e-4547-b721-405cf462550b3002019-07-03T14:44:19Z2019-07-03T14:44:19Z2014-06-24https://repositorio.unal.edu.co/handle/unal/71910http://bdigital.unal.edu.co/36382/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.application/pdfspaUniversidad Nacional de Colombia Sede Medellínhttp://revistas.unal.edu.co/index.php/dyna/article/view/37063Universidad Nacional de Colombia Revistas electrónicas UN DynaDynaDYNA; Vol. 81, núm. 185 (2014); 100-106 Dyna; Vol. 81, núm. 185 (2014); 100-106 2346-2183 0012-7353Duarte-Duarte, Juan Benjamín and Mascareñas Pérez-Iñigo, Juan Manuel and Sierra-Suárez, Katherine Julieth (2014) Testing the efficiency market hypothesis for the colombian stock market. DYNA; Vol. 81, núm. 185 (2014); 100-106 Dyna; Vol. 81, núm. 185 (2014); 100-106 2346-2183 0012-7353 .Testing the efficiency market hypothesis for the colombian stock marketArtículo de revistainfo:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/version/c_970fb48d4fbd8a85Texthttp://purl.org/redcol/resource_type/ARTefficient-market hypothesisrandom walkauto-regressionrun testBDS testLB test and Bartlett testORIGINAL37063-207731-1-PB.pdfapplication/pdf689287https://repositorio.unal.edu.co/bitstream/unal/71910/1/37063-207731-1-PB.pdf2d9eb821bb51b50c86adb8dccec438e9MD51THUMBNAIL37063-207731-1-PB.pdf.jpg37063-207731-1-PB.pdf.jpgGenerated Thumbnailimage/jpeg10635https://repositorio.unal.edu.co/bitstream/unal/71910/2/37063-207731-1-PB.pdf.jpgc2c9df5cafeb1aeda87809e1a94c0b3aMD52unal/71910oai:repositorio.unal.edu.co:unal/719102024-06-13 23:09:20.643Repositorio Institucional Universidad Nacional de Colombiarepositorio_nal@unal.edu.co |
| dc.title.spa.fl_str_mv |
Testing the efficiency market hypothesis for the colombian stock market |
| title |
Testing the efficiency market hypothesis for the colombian stock market |
| spellingShingle |
Testing the efficiency market hypothesis for the colombian stock market efficient-market hypothesis random walk auto-regression run test BDS test LB test and Bartlett test |
| title_short |
Testing the efficiency market hypothesis for the colombian stock market |
| title_full |
Testing the efficiency market hypothesis for the colombian stock market |
| title_fullStr |
Testing the efficiency market hypothesis for the colombian stock market |
| title_full_unstemmed |
Testing the efficiency market hypothesis for the colombian stock market |
| title_sort |
Testing the efficiency market hypothesis for the colombian stock market |
| dc.creator.fl_str_mv |
Duarte-Duarte, Juan Benjamín Mascareñas Pérez-Iñigo, Juan Manuel Sierra-Suárez, Katherine Julieth |
| dc.contributor.author.spa.fl_str_mv |
Duarte-Duarte, Juan Benjamín Mascareñas Pérez-Iñigo, Juan Manuel Sierra-Suárez, Katherine Julieth |
| dc.subject.proposal.spa.fl_str_mv |
efficient-market hypothesis random walk auto-regression run test BDS test LB test and Bartlett test |
| topic |
efficient-market hypothesis random walk auto-regression run test BDS test LB test and Bartlett test |
| description |
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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2014 |
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2014-06-24 |
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2019-07-03T14:44:19Z |
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2019-07-03T14:44:19Z |
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Artículo de revista |
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http://purl.org/coar/resource_type/c_2df8fbb1 |
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info:eu-repo/semantics/article |
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http://bdigital.unal.edu.co/36382/ |
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https://repositorio.unal.edu.co/handle/unal/71910 http://bdigital.unal.edu.co/36382/ |
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spa |
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spa |
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http://revistas.unal.edu.co/index.php/dyna/article/view/37063 |
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Universidad Nacional de Colombia Revistas electrónicas UN Dyna Dyna |
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DYNA; Vol. 81, núm. 185 (2014); 100-106 Dyna; Vol. 81, núm. 185 (2014); 100-106 2346-2183 0012-7353 |
| dc.relation.references.spa.fl_str_mv |
Duarte-Duarte, Juan Benjamín and Mascareñas Pérez-Iñigo, Juan Manuel and Sierra-Suárez, Katherine Julieth (2014) Testing the efficiency market hypothesis for the colombian stock market. DYNA; Vol. 81, núm. 185 (2014); 100-106 Dyna; Vol. 81, núm. 185 (2014); 100-106 2346-2183 0012-7353 . |
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Derechos reservados - Universidad Nacional de Colombia |
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