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Las caminatas aleatorias no son de este mundo

Author

Listed:
  • Cecilia Maya Ochoa
  • Gabriel Ignacio Torres Avendaño

Abstract

La evidencia empírica presentada en relación con la hipótesis de que los retornos de los activos financieros siguen un proceso de caminata aleatoria soporta la afirmación de que éstas no son de este mundo. Independientemente de que el estudio se haya realizado en un mercado desarrollado o en uno emergente, la conclusión es la misma. Se rechaza la hipótesis de caminata aleatoria para todos los mercados, pues se evidencia la presencia de autocorrelación en las distintas series analizadas y, ciertamente, los retornos no siguen una distribución definida, independiente e idéntica, mucho menos una distribución normal. La diferencia entre mercados desarrollados y emergentes radica más bien en la magnitud de la dependencia serial, que por ser pequena no permite la obtención de ganancias extraordinarias en los primeros.

Suggested Citation

  • Cecilia Maya Ochoa & Gabriel Ignacio Torres Avendaño, 2007. "Las caminatas aleatorias no son de este mundo," Documentos de Trabajo de Valor Público 3882, Universidad EAFIT.
    • Handle: RePEc:col:000122:003882
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    File URL: http://hdl.handle.net/10784/925
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