Market liberalizations and efficiency in Latin America

Nikolai Sheung-Chi Chow, Yongchang Hui, João Paulo Vieito and ZhenZhen Zhu

Studies in Economics and Finance, 2016, vol. 33, issue 4, 553-575

Abstract: Purpose - This paper aims to examine the impact of stock market liberalization on efficiency of the stock markets in Latin America. Design/methodology/approach - Daily stock indices from Latin American countries, including Brazil, Mexico, Chile, Peru, Jamaica and Trinidad and Tobago, are used in the analysis. To examine the impact of stock market liberalization on efficiency, the authors use several approaches, including the runs test, Chow–Denning multiple variation ratio test, Wright variance ratio test, the martingale hypothesis test and the stochastic dominance (SD) test, on the above Latin American stock market indices. Findings - The authors find that stock market liberalization does not improve stock market efficiency in Latin America. Originality/value - This investigation is among the first to examine the impact of stock market liberalization on the efficiency of the stock markets. It is among the first to examine the impact of stock market liberalization on the efficiency of the Latin American stock markets. It is also among the first to apply the martingale hypothesis test and a SD approach on issue about efficient market.

Keywords: Latin America; Market efficiency; Market liberalization; Stochastic dominance (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eme:sefpps:v:33:y:2016:i:4:p:553-575

DOI: 10.1108/SEF-01-2015-0014

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