Análisis comparativo de eficiencia entre Brasil, México y Estados Unidos

Juan Benjamín Duarte Duarte (), Katherine Julieth Sierra Suárez () and Víctor Alfonso Rueda Ortiz ()

Revista Finanzas y Politica Economica, 2015, vol. 7, issue 2, 341-357

Abstract: Este artículo busca contrastar la eficiencia débil de los índices bursátiles de Brasil, México y Estados Unidos, desde el supuesto de que un mercado eficiente no es predecible. Con este propósito se evalúa la predictibilidad usando la prueba de rachas y el ratio de varianza automático, en el periodo 1995-2014. Los resultados evidencian que los mercados accionarios de Brasil y México han pasado de ser no eficientes a eficientes en los últimos anos; en contraste, Estados Unidos muestra predictibilidad en distintos intervalos de tiempo.******This article seeks to contrast the weak form efficiency of the Brazilian, US, and Mexican stock indexes, based on the assumption that an efficient market is not predictable. With this goal in mind, we assessed predictability using runs tests and automatic variance ratio, in the 1995-2014 period. The results shed light on the fact that, in recent years, stock markets in Brazil and Mexico have gone from being non-efficient to being efficient. In contrast, the United States shows predictability at different time intervals.

JEL-codes: C01 C22 G14 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:col:000443:014136

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