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Tests of random walks and market efficiency in Latin American stock markets: An empirical note. Discussion Paper No. 157

By Andrew C. Worthington and Helen Higgs

Abstract

This note examines the weak-form market efficiency of Latin American equity markets. Daily returns for Argentina, Brazil, Chile, Colombia, Mexico, Peru and Venezuela are examined for random walks using serial correlation coefficient and runs tests, Augmented Dickey-Fuller (ADF), Phillips-Perron (PP) and Kwiatkowski, Phillips, Schmidt and Shin (KPSS) unit root tests and multiple variance ratio (MVR) tests. The results, which are in broad agreement across the approaches employed, indicate that none of the markets are characterised by random walks and hence are not weak-form efficient, even under some less stringent random walk criteria

Topics: 140000 ECONOMICS, 140102 Macroeconomic Theory, 140212 Macroeconomics (incl. Monetary and Fiscal Theory), 160401 Economic Geography, emerging markets, random walk hypothesis, market efficiency, Latin America, money market
Year: 2003
OAI identifier: oai:eprints.qut.edu.au:328
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