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Predictibilidad de los retornos en el mercado de Colombia e hipótesis de mercado adaptativo

Author

Listed:
  • Katherine Julieth Sierra Suárez
  • Juan Benjami?n Duarte Duarte
  • Victor Alfonso Rueda Orti?z

Abstract

Los mercados eficientes son aquellos en los cuales no es posible predecir los retornos de sus activos. No obstante, la hipótesis de mercado adaptativo afirma que la eficiencia no es una característica estática de los mercados, sino que varía en el tiempo de acuerdo a las condiciones del mercado y al comportamiento de sus agentes. Este trabajo busca evaluar la predictibilidad del mercado colombiano, usando el test Ratio de varianza automático en ventanas móviles de tiempo para comprobar si es eficiente, y si la eficiencia es una característica estática o dinámica de este mercado. Los resultados muestran que los índices accionarios de Colombia presentan periodos de predictibilidad y periodos de alta incertidumbre que son consistentes con un mercado adaptativo.

Suggested Citation

  • Katherine Julieth Sierra Suárez & Juan Benjami?n Duarte Duarte & Victor Alfonso Rueda Orti?z, 2015. "Predictibilidad de los retornos en el mercado de Colombia e hipótesis de mercado adaptativo," Estudios Gerenciales, Universidad Icesi, vol. 31(137), pages 411-418, November.
  • Handle: RePEc:col:000129:014340
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    File URL: http://www.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/2131
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    Citations

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    Cited by:

    1. López Gaviria, José Ignacio, 2019. "Predictibilidad del mercado accionario colombiano," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 91, pages 117-150, July.
    2. José Ignacio López-Gaviria, 2019. "Colombia’s stock market predictability," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 91, pages 117-150, Julio - D.

    More about this item

    Keywords

    Predictibilidad; Ratio de varianza automático; Eficiencia de mercados; Hipótesis de mercado adaptativo;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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