An empirical note on the random walk behaviour and market efficiency of Latin American stock markets

No Thumbnail Available
File version
Author(s)
C. Worthington, Andrew
Higgs, Helen
Griffith University Author(s)
Primary Supervisor
Other Supervisors
Editor(s)
Date
2003
Size
File type(s)
Location
License
Abstract

This note examines the weak-form market efficiency of Latin American equity markets. Daily returns for Argentina, Brazil, Chile, Colombia, Mexico, Peru and Venezuela are examined for random walks using serial correlation coefficient and runs tests, Augmented Dickey-Fuller (ADF), Phillips-Perron (PP) and Kwiatkowski, Phillips, Schmidt and Shin (KPSS) unit root tests and multiple variance ratio (MVR) tests. The results, which are in broad agreement across the approaches employed, indicate that none of the markets are characterised by random walks and hence are not weak-form efficient, even under some less stringent random walk criteria.

Journal Title

Empirical Economics Letters

Conference Title
Book Title
Edition
Volume

2

Issue

5

Thesis Type
Degree Program
School
DOI
Patent number
Funder(s)
Grant identifier(s)
Rights Statement
Rights Statement
Item Access Status
Note
Access the data
Related item(s)
Subject

Economic Theory

Applied Economics

Econometrics

Persistent link to this record
Citation
Collections