Random Walks and Market Efficiency Tests of Latin American Emerging Equity Markets: A Revisit
The few existing studies on equity price dynamics and market efficiency for Latin American emerging equity markets show conflicting results, This study uses multiple variance-ratio and auto-regressive fractionally integrated moving-average tests and new data (U.S. dollar-based national equity indices for the 1987-1997 period) to clarify these results. Documented evidence shows that equity prices in major Latin American emerging equity markets--Argentina, Brazil, Chile and Mexico-follow a random walk, and that they are, generally, weak-form efficient. In sum, therefore, the evidence suggests that international investors in these markets cannot use historical information to design systematically profitable trading schemes because future long-term returns are not dependent on past returns. Copyright 1999 by MIT Press.
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Volume (Year): 34 (1999)
Issue (Month): 2 (May)
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