Market Efficiency: An Empirical Survey In Peru And Other Selected Countries

Samuel Mongrut Montalván

Apuntes. Revista de ciencias sociales, 2002, vol. 29, issue 51, 49-85

Abstract: This paper surveys three methods for testing the weak form of market efficiency:the autocorrelation coefficient, the variance ratio, and the lead-on-the-lagregression. All of them have different strengths and limitations, so they providecomplementary insights about market efficiency. The three methods are appliedto a sample of eleven countries and to the world stock index. The results revealthe appearance of market anomalies in capital markets, specifically overreactionand mean reversion, with differences in timing and duration. These differencescould be due to cross-country differences in investment horizons among investors.

Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:pai:apunup:es-51-03

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