Time Series Properties of four Latin American Equity Markets: Argentina, Brazil, Chile and Mexico
Propiedades de series temporales de cuatro mercados de renta variable latinoamericanos: Argentina, Brasil, Chile y México
| dc.creator | Urrutia, Jorge L. | |
| dc.date | 1994-12-31 | |
| dc.identifier | https://revistas.uchile.cl/index.php/EDA/article/view/56689 | |
| dc.identifier | 10.5354/0719-0816.1994.56689 | |
| dc.description | Variance ratio tests indicate that the equity markets of Argentina, Brazil and Mexico follow random walks, but not those of Chile. The low correlations among the four markets suggest that investments in these countries can contribute to reduce portfolio risk. The research on the random walk hypothesis has been heavily concentrated on the large equity markets of the United States, Canada, Japan and Europe (summers 1986; Fama and French 1986a, 1986b; Lo and MacKinlay 1988, and Poterba and Summers 1988). Even though some studies have been conducted for stock markets of developing countries (Errunza 1983 and Errunza and Losq 1985), little research has been done in Latin American capital markets (Errunza and Losq 1987). This paper employs the variance-ratio test to investigate the random walk hypothesis for the following four Latin American equity markets: Argentina, Brazil, Chile and Mexico. Two versions of the variance-ratio tests are implemented: first, the variance-ratio under the maintained hypothesis of homocedasticity and, second, the heteroscedasticity-robust variance-ratio. The empirical results reported in the paper indicate that the random walk hypothesis is rejected for Chile but it is generally confirmed for Argentina, Brazil and Mexico. Therefore, American investors might not be able to develop investment strategies that can be generate abnormal returns in these three countries. However, the low correlation among these markets suggests that American investors can reduce the risk of their portfolios by diversifying in international stocks of these countries. | en-US |
| dc.description | Este trabajo investiga la hipótesis de random walk para cuatro mercado de capitales latinoamericanos: Argentina, Brasil, Chile y México. Se emplean dos versiones del test de razón de varianza: suponiendo homosedasticidad y razón de varianza robusta a heterosedasticidad. Los datos corresponden a precios mensuales de índices nacionales expresados en dólares para el periodo diciembre 1975 a marzo 1991. La razón de varianza acepta la random walk para Argentina, Brasil y México, pero la rechaza para Chile. Estos resultados sugieren que los inversores extranjeros no pueden ganar retornos extraordinarios invirtiendo en estos mercados. Sin embargo, las bajas correlaciones entre los índices indican que invirtiendo en estos países se puede reducir el riesgo de las carteras de inversión. | es-ES |
| dc.format | application/pdf | |
| dc.language | eng | |
| dc.publisher | Departamento de Administración, Universidad de Chile, Facultad de Economía y Negocios | en-US |
| dc.relation | https://revistas.uchile.cl/index.php/EDA/article/view/56689/60078 | |
| dc.rights | Copyright (c) 2020 Estudios de Administración | en-US |
| dc.rights | http://creativecommons.org/licenses/by-nc-sa/4.0 | en-US |
| dc.source | Estudios de Administración; Vol 1 No 2 (1994): (July-December); 1-9 | es-ES |
| dc.source | Estudios de Administración; Vol 1 No 2 (1994): (July-December); 1-9 | en-US |
| dc.source | 0719-0816 | |
| dc.source | 0717-0653 | |
| dc.title | Time Series Properties of four Latin American Equity Markets: Argentina, Brazil, Chile and Mexico | en-US |
| dc.title | Propiedades de series temporales de cuatro mercados de renta variable latinoamericanos: Argentina, Brasil, Chile y México | es-ES |
| dc.type | info:eu-repo/semantics/article | |
| dc.type | info:eu-repo/semantics/publishedVersion |
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