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Comprobación de la eficiencia débil en los principales mercados financieros latinoamericanos

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  • Juan Benjamín Duarte Duarte
  • Juan Manuel Mascare?nas Pérez-Iñigo

Abstract

El presente trabajo tiene como objetivo comprobar la eficiencia débil en los 5 principales mercados bursátiles de Latinoamérica, usando 2 enfoques; primero se evalúa la normalidad de las series mediante las estadísticas básicas, el test Jarque-Bera y la prueba de bondad de ajuste de la chi-cuadrado; en segundo lugar, se contrasta la caminata aleatoria (RW) de los activos en sus versiones RW1(test Rachas y test BDS), RW2 (filtros de Alexander con algoritmos genéticos) y RW3 (Test Ljung-Box e Intervalo de Bartlett); encontrando que las 5 principales economías latinoamericanas han experimentado un cambio de no eficiencia a eficiencia en los últimos a˜nos de acuerdo con el siguiente orden cronológico: México (2007), Brasil (2008), Colombia (2008), Chile (2011) y Perú (2012).

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  • Juan Benjamín Duarte Duarte & Juan Manuel Mascare?nas Pérez-Iñigo, 2014. "Comprobación de la eficiencia débil en los principales mercados financieros latinoamericanos," Estudios Gerenciales, Universidad Icesi, November.
    • Handle: RePEc:col:000129:012448
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    More about this item

    Keywords

    Hipótesis de eficiencia de mercado; Recorrido aleatorio; Mercado bursátil;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

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