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Tests of Random Walk and Market Efficiency for Latin American Emerging Equity Markets

Listed author(s):
  • Urrutia, Jorge L
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    Variance-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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    Article provided by Southern Finance Association & Southwestern Finance Association in its journal Journal of Financial Research.

    Volume (Year): 18 (1995)
    Issue (Month): 3 (Fall)
    Pages: 299-309

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    Handle: RePEc:bla:jfnres:v:18:y:1995:i:3:p:299-309
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