Abstract

DUARTE DUARTE, Juan Benjamín  and  MASCARENAS PEREZ-INIGO, Juan Manuel. Proving weak-form efficiency of the main Latin American financial markets. estud.gerenc. [online]. 2014, vol.30, n.133, pp.365-375. ISSN 0123-5923.

This paper aims to test weak-form efficiency in the top five Latin American stock markets, using two approaches. Firstly, by evaluating the normality of the series using basic statistics, then by using the Jarque-Bera test and Chi-Square goodness of fit test, contrasting the RW1 (Runs test and BDS test), RW2 (Alexander filters with genetic algorithms) and RW3 (Ljung-Box test and Bartlett Interval) of the random walk (RW) of the assets. It was found that the five major Latin American economies studied have experienced a change from non-efficiency to market efficiency in recent years, according to the following chronological order: Mexico (2007), Brazil (2008), Colombia (2008), Chile (2011) and Peru (2012).

Keywords : Efficient-market hypothesis; Random walk; Stock market.

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