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Evolución y eficiencia relativa de los mercados bursátiles de MENA: evidencia de pruebas de índice de varianza conjunta móvil

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  • Amira Akl Ahmed

    (Benha University)

Abstract

Múltiples pruebas de cociente de varianza, con el procedimiento de desplazamiento de periodos (rolling window), se aplicaron a datos semanales (expresados en moneda local y dólares de los E.E.U.U.) para cinco mercados bursátiles en la región de Medio Oriente y África del Norte (MOAN), durante 1995-2009. Los resultados indicaron que los mercados bursátiles de Israel y Turquía, grandes y con alta liquidez, están clasificados como los más eficientes. Los mercados egipcios y marroquíes convergieron hacia la eficiencia en el año 2002, debido a notables mejoras en la difusión de información y liquidez, mientras que el mercado jordano había restaurado su eficiencia al final del periodo de estudio. Los tipos de cambio no participaron en la determinación de la dinámica de las ganancias accionarias en los mercados de capital que fueron examinados.

Suggested Citation

  • Amira Akl Ahmed, 2014. "Evolución y eficiencia relativa de los mercados bursátiles de MENA: evidencia de pruebas de índice de varianza conjunta móvil," Ensayos Revista de Economía, Universidad Autónoma de Nuevo León, vol. 33(1), pages 91-126, May.
    • Handle: RePEc:ere:journl:v:33:y:2014:i:1:id:33
    DOI: 10.29105/ensayos33.1-4
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    References listed on IDEAS

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