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Market liberalizations and efficiency in Latin America

Author

Listed:
  • Sheung Chi Chow
  • Yongchang Hui
  • João Paulo Vieito
  • ZhenZhen Zhu

Abstract

Purpose - This paper aims to examine the impact of stock market liberalization on efficiency of the stock markets in Latin America. Design/methodology/approach - Daily stock indices from Latin American countries, including Brazil, Mexico, Chile, Peru, Jamaica and Trinidad and Tobago, are used in the analysis. To examine the impact of stock market liberalization on efficiency, the authors use several approaches, including the runs test, Chow–Denning multiple variation ratio test, Wright variance ratio test, the martingale hypothesis test and the stochastic dominance (SD) test, on the above Latin American stock market indices. Findings - The authors find that stock market liberalization does not improve stock market efficiency in Latin America. Originality/value - This investigation is among the first to examine the impact of stock market liberalization on the efficiency of the stock markets. It is among the first to examine the impact of stock market liberalization on the efficiency of the Latin American stock markets. It is also among the first to apply the martingale hypothesis test and a SD approach on issue about efficient market.

Suggested Citation

  • Sheung Chi Chow & Yongchang Hui & João Paulo Vieito & ZhenZhen Zhu, 2016. "Market liberalizations and efficiency in Latin America," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 33(4), pages 553-575, October.
    • Handle: RePEc:eme:sefpps:v:33:y:2016:i:4:p:553-575
    DOI: 10.1108/SEF-01-2015-0014
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    Cited by:

    1. Nageri Kamaldeen Ibraheem & Abdulkadir Rihanat Idowu, 2019. "Is the Nigerian Stock Market Efficient? Pre and Post 2007-2009 Meltdown Analysis," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, vol. 29(3), pages 38-63, September.

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