Testing the efficient market hypothesis in Latin American stock markets

被引：28

作者：

Sanchez-Granero, M. A. ^{[1
]}

Balladares, K. A. ^{[2
]}

Ramos-Requena, J. P. ^{[3
]}

Trinidad-Segovia, J. E. ^{[3
]}

机构：

[1] Univ Almeria, Dept Math, Almeria, Spain

[2] Univ Guayaquil, Fac Adm Sci, Guayaquil, Ecuador

[3] Univ Almeria, Dept Econ & Business, Almeria, Spain

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2020年 / 540卷

关键词：

Efficient markets; Hurst exponent; Statistical arbitrage; Long memory; DIVIDEND; ANNOUNCEMENTS; COINTEGRATION; PERFORMANCE; RETURNS; PRICES; RULES;

D O I：

10.1016/j.physa.2019.123082

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

We propose a novel approach to study if Latin America Stock Markets are Efficient. This test is based on a statistical arbitrage technique known as Pairs Trading, which is a relative value trading strategy consisting in taking a position in a pair of stocks that are chosen to have similar characteristics and taking a long position in one stock and a short position in the other stock. We use an approach introduced in Ramos et al. (2007) based on the evolution of the Hurst Exponent of a pair. We will show how in emerging markets this trading strategy is profitable though it is not in developed markets, which is according with the weak form of efficiency. (C) 2019 Elsevier B.V. All rights reserved.

引用

页数：14

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