An empirical note on the random walk behaviour and market efficiency of Latin American stock markets
RIS ID
16538
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.
Publication Details
This paper was originally published as Worthington, AC and Higgs, H, An empirical note on the random walk behaviour and market efficiency of Latin American stock markets, Empirical Economics Letters, 2(5), September 2003, 183-97. Journal home page here.