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Stock Market Liberalizations and Efficiency: The Case of Latin America

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  • Vieito, João Paulo
  • Wong, Wing-Keung
  • Chow, Sheung Chi

Abstract

This investigation is among the first to examine the impact of stock market liberalization on the efficiency of Latin American stock markets. It is also among the first to apply the martingale hypothesis test and a stochastic dominance approach to study the issue of efficient markets. Daily stock indices from Latin American countries, including Brazil, Mexico, Chile, Peru, Jamaica, and Trinidad and Tobago, are used in our analysis. To examine the impact of stock market liberalization on efficiency, we employ several approaches, including the runs test, Chow-Denning multiple variation ratio test, Wright variance ratio test, the martingale hypothesis test and the SD test, the stock market indices of the countries above. We find that stock market liberalization does not significantly improve stock market efficiency in Latin America.

Suggested Citation

  • Vieito, João Paulo & Wong, Wing-Keung & Chow, Sheung Chi, 2016. "Stock Market Liberalizations and Efficiency: The Case of Latin America," MPRA Paper 68949, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:68949
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    More about this item

    Keywords

    Market Liberalization; Market Efficiency; Stochastic Dominance; Latin;
    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

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