Tests of random walks and market efficiency in Latin American stock markets: An empirical note. Discussion Paper No. 157
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.
Impact and interest:
Citation counts are sourced monthly from and citation databases.
These databases contain citations from different subsets of available publications and different time periods and thus the citation count from each is usually different. Some works are not in either database and no count is displayed. Scopus includes citations from articles published in 1996 onwards, and Web of Science® generally from 1980 onwards.
Citations counts from theindexing service can be viewed at the linked Google Scholar™ search.
Full-text downloads displays the total number of times this work’s files (e.g., a PDF) have been downloaded from QUT ePrints as well as the number of downloads in the previous 365 days. The count includes downloads for all files if a work has more than one.
|Item Type:||Working Paper|
|Keywords:||emerging markets, random walk hypothesis, market efficiency, Latin America, money market|
|Subjects:||Australian and New Zealand Standard Research Classification > ECONOMICS (140000)
Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > Economic Theory (140100) > Macroeconomic Theory (140102)
Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200) > Macroeconomics (incl. Monetary and Fiscal Theory) (140212)
Australian and New Zealand Standard Research Classification > STUDIES IN HUMAN SOCIETY (160000) > HUMAN GEOGRAPHY (160400) > Economic Geography (160401)
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School|
|Copyright Owner:||Copyright 2003 (please consult author)|
|Deposited On:||29 Jul 2004 00:00|
|Last Modified:||05 Jan 2011 13:23|
Repository Staff Only: item control page