Tests of Random Walk and Market Efficiency for Latin American Emerging Equity Markets
AbstractVariance-ratio methodology is used to test the hypothesis that Latin American emerging equity market prices follow a random walk. The data are monthly index prices in local currency from December 1975 to March 1991 for Argentina, Brazil, Chile, and Mexico. The variance-ratio tests reject the random walk hypothesis. However, runs tests indicate that Latin American equity markets are weak-form efficient. These empirical findings suggest that domestic investors might not be able to develop trading strategies that would allow them to earn excess returns.
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Bibliographic InfoArticle provided by Southern Finance Association & Southwestern Finance Association in its journal Journal of Financial Research.
Volume (Year): 18 (1995)
Issue (Month): 3 (Fall)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0270-2592
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