La hipótesis de eficiencia en los mercados de acciones. El caso del Mercado de Valores de Buenos Aires

Martín A. Rossi
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Martín A. Rossi: Universidad de Buenos Aires - Centro de Estudios Económicos de la Regulación, Departamento de Economía y Finanzas, UADE

ECONÓMICA, 2000, vol. XLVI, issue 1, pages 37-69

Abstract: The main contributions of this paper are the development of a new test of the stock market hypothesis and a new application of the tests for return predictability to the Buenos Aires Stock Market. In the first part, a survey of these tests is made, including, among others, the variance bound test, the test of cointegration between prices and dividends, the overshooting test, and the test of autocorrelation of the returns. Then, a new test is developed, called cointegration test between stock prices, based on the idea that if a market is efficient there should not exist open arbitrages that could give the basis for profitable trading rules. Finally, an empirical application to the Buenos Aires Stock Market is made. The results show suggestive evidence that undermine the joint hypothesis of market efficiency and constant returns.

JEL-codes: G1 (search for similar items in EconPapers)
Date: 2000

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Persistent link: http://EconPapers.repec.org/RePEc:lap:journl:509

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