Stock Market Liberalizations and Efficiency: The Case of Latin America
João Paulo Vieito,
Wing-Keung Wong and
Nikolai Sheung-Chi Chow
MPRA Paper from University Library of Munich, Germany
This investigation is among the first to examine the impact of stock market liberalization on the efficiency of Latin American stock markets. It is also among the first to apply the martingale hypothesis test and a stochastic dominance approach to study the issue of efficient markets. Daily stock indices from Latin American countries, including Brazil, Mexico, Chile, Peru, Jamaica, and Trinidad and Tobago, are used in our analysis. To examine the impact of stock market liberalization on efficiency, we employ several approaches, including the runs test, Chow-Denning multiple variation ratio test, Wright variance ratio test, the martingale hypothesis test and the SD test, the stock market indices of the countries above. We find that stock market liberalization does not significantly improve stock market efficiency in Latin America.
Keywords: Market Liberalization; Market Efficiency; Stochastic Dominance, Latin (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:68949
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