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Revisando la hipótesis de los mercados eficientes: nuevos datos, nuevas crisis y nuevas estimaciones

Author

Listed:
  • Jorge Mario Uribe Gil

    ()

  • Inés María Ulloa Villegas

    ()

Abstract

En este documento se revisa la relación teórica entre eficiencia informacional y eficiencia en la asignación. Igualmente, se proponen dos mejoras a la metodología empírica tradicional para medir la eficiencia en el sentido débil. La primera consiste en calcular el estadístico de eficiencia dinámicamente, lo cual enriquece el análisis y permite definir intervalos con distintos grados de eficiencia en el mismo mercado. La segunda consiste en evaluar la eficiencia a través de cópulas, las cuales son robustas ante la no normalidad y la no linealidad que exhiben las series de tiempo financieras.

Suggested Citation

  • Jorge Mario Uribe Gil & Inés María Ulloa Villegas, 2011. "Revisando la hipótesis de los mercados eficientes: nuevos datos, nuevas crisis y nuevas estimaciones," REVISTA CUADERNOS DE ECONOMÍA, UN - RCE - CID, December.
  • Handle: RePEc:col:000093:009217
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    File URL: http://www.fce.unal.edu.co/media/files/documentos/Cuadernos/55/v30n55a07.pdf
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    Cited by:

    1. Uribe, Jorge & Fernández, Julián, 2014. "Burbujas financieras y comportamiento reciente de los mercados de acciones en América Latina," REVISTA LECTURAS DE ECONOMÍA, UNIVERSIDAD DE ANTIOQUIA - CIE, issue 81, pages 57-90, April.

    More about this item

    Keywords

    eficiencia financiera; razones de varianza; cópulas; independencia.;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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