Resumo

SIERRA SUAREZ, Katherine Julieth; DUARTE DUARTE, Juan Benjamín  e  RUEDA ORTIZ, Victor Alfonso. Predictability of returns in the Colombian stock market and the adaptive market hypothesis. estud.gerenc. [online]. 2015, vol.31, n.137, pp.411-418. ISSN 0123-5923.  https://doi.org/10.1016/j.estger.2015.05.004.

Efficient markets are those in which it is not possible to predict the returns on assets. However, the adaptive markets hypothesis (AMH) states that efficiency is not a static feature of markets, but varies in time according to market conditions and the behavior of its agents. This paper seeks to test the predictability of the Colombian market, using the automatic variance ratio test in moving windows, to check whether it is efficient, and if efficiency is a static or dynamic feature of this market. The results show that the stock indexes of Colombia have predictable periods and periods of high uncertainty that are consistent with an adaptive market.

Palavras-chave : Predictability; Automatic variance ratio; Markets efficiency; Adaptive market hypothesis.

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