Título

Eficiencia adaptativa de la bolsa mexicana de valores

Autor

OMAR GUILLERMO ROJAS ALTAMIRANO

Nivel de Acceso

Acceso Abierto

Licencia

http://creativecommons.org/licenses/by-nc-nd/4.0

Materias

CIENCIAS FÍSICO MATEMÁTICAS Y CIENCIAS DE LA TIERRA - (CTI) CIENCIAS FÍSICO MATEMÁTICAS Y CIENCIAS DE LA TIERRA - (CTI)

Resumen o descripción

Purpose: The purpose of this paper is to analyse the adaptive market efficiency in the price–volume (P–V) relationship of the stocks listed in the Mexican Stock Exchange. The period under study goes from 1982 to 2015. In order to detect causality and, thus, determine adaptive efficiency in the market, one linear and two non-linear tests are applied. There are few papers in the literature that study the P–V relationship in Latin American markets; as such, this paper may be of interest and importance to financial academics and practitioners alike. Design/methodology/approach: The Diks and Panchenko (DP) non-parametric Granger causality and the Brooks and Hinich (BH) cross-bicorrelation tests are applied. Findings: Derived from the DP test, the findings show that there exists bi-directional non-linear Granger causality in 25.71 per cent of the firms studied, compared to 8 per cent when applying the linear Granger causality test. Therefore, there is evidence of weak-form efficiency in the market. From the BH test, evidence is shown of the adaptive market efficiency, since 71.42 per cent of firms exhibited some form of non-linear dependence in certain periods of time. With these results, the information process should be better studied for a greater comprehension of regulatory policies in the market and better decision-making tools for the investors. Originality/value: This paper complements studies on the P–V relationship and efficiency in a Latin American market.

Investigadores

Maestros

Estudiantes

Ciencias Económicas y Empresariales

Producción Científica de la Universidad de Panamericana

Editor

Emerald

Fecha de publicación

25 de septiembre de 2018 25 de septiembre de 2018 2018

Tipo de publicación

Artículo

Versión de la publicación

Versión publicada

Recurso de información

https://hdl.handle.net/20.500.12552/4680

Brito-Cervantes, E., Coronado, S., Morales-García, M., Rojas, O.

1012-8255

Campus Guadalajara

Formato

application/pdf

Idioma

Inglés Español

Cobertura

México

Audiencia

Investigadores

Estudiantes

Investigadores

Repositorio Orígen

REPOSITORIO INSTITUCIONAL SCRIPTA DE LA UNIVERSIDAD PANAMERICANA

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