Comprobación de la eficiencia débil en los principales mercados financieros latinoamericanos

Juan Benjamín Duarte Duarte; Juan Manuel Mascareñas Pérez-Iñigo

doi:10.1016/j.estger.2014.05.005

Autores/as

Juan Benjamín Duarte Duarte Profesor Asociado, Escuela de Estudios industriales y Empresariales, Universidad Industrial de Santander, Bucaramanga
Juan Manuel Mascareñas Pérez-Iñigo Profesor Catedrático, Universidad Complutense de Madrid, Madrid

DOI:

https://doi.org/10.1016/j.estger.2014.05.005

Palabras clave:

Hipótesis de eficiencia de mercado, Recorrido aleatorio, Mercado bursátil

Resumen

El presente trabajo tiene como objetivo comprobar la eficiencia débil en los 5 principales mercados bursátiles de Latinoamérica, usando 2 enfoques; primero se evalúa la normalidad de las series mediante las estadísticas básicas, el test Jarque-Bera y la prueba de bondad de ajuste de la chi-cuadrado; en segundo lugar, se contrasta la caminata aleatoria (RW) de los activos en sus versiones RW1 (test Rachas y test BDS), RW2 (filtros de Alexander con algoritmos genéticos) y RW3 (Test Ljung-Box e Intervalo de Bartlett); encontrando que las 5 principales economías latinoamericanas han experimentado un cambio de no eficiencia a eficiencia en los últimos años de acuerdo con el siguiente orden cronológico:México(2007), Brasil (2008), Colombia (2008), Chile (2011) y Perú (2012).

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