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Tests of random walks and market efficiency in Latin American stock markets: An empirical note. Discussion Paper No. 157

Worthington, Andrew C. & Higgs, Helen (2003) Tests of random walks and market efficiency in Latin American stock markets: An empirical note. Discussion Paper No. 157. [Working Paper] (Unpublished)

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.

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ID Code: 328
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
Last Modified: 05 Jan 2011 23:23

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