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Market Efficiency: An Empirical Survey In Peru And Other Selected Countries

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  • Samuel Mongrut Montalván

Abstract

This paper surveys three methods for testing the weak form of market efficiency:the autocorrelation coefficient, the variance ratio, and the lead-on-the-lagregression. All of them have different strengths and limitations, so they providecomplementary insights about market efficiency. The three methods are appliedto a sample of eleven countries and to the world stock index. The results revealthe appearance of market anomalies in capital markets, specifically overreactionand mean reversion, with differences in timing and duration. These differencescould be due to cross-country differences in investment horizons among investors.

Suggested Citation

  • Samuel Mongrut Montalván, 2002. "Market Efficiency: An Empirical Survey In Peru And Other Selected Countries," Apuntes. Revista de ciencias sociales, Fondo Editorial, Universidad del Pacífico, vol. 29(51), pages 49-85.
    • Handle: RePEc:pai:apunup:es-51-03
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    References listed on IDEAS

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    1. Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-273, April.
    2. Fama, Eugene F., 1998. "Market efficiency, long-term returns, and behavioral finance," Journal of Financial Economics, Elsevier, vol. 49(3), pages 283-306, September.
    3. Poterba, James M. & Summers, Lawrence H., 1988. "Mean reversion in stock prices : Evidence and Implications," Journal of Financial Economics, Elsevier, vol. 22(1), pages 27-59, October.
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