Título Weak market in the US Efficiency Period 2000-2009
Autores Albornoz Arias, Neida Coromoto , MILLÁN VÁZQUEZ DE LA TORRE, GENOVEVA, Navajas Romero, Virginia , Hernandez Rojas, Ricardo
Publicación externa No
Medio Managing And Modelling Of Financial Risks
Alcance Proceedings Paper
Naturaleza Científica
Fecha de publicacion 01/01/2016
ISI 000495792700002
Abstract The Hypothesis theory of Market Efficiency (HEM) notes that a stock market is efficient when analysts and investors believe that the market security price is a good estimate of their theoretical or intrinsic price because it is properly valued. This document aims to contrast the series of monthly returns of the US market in the period 2000-2009, to observe their behavior and random validation HEM in its weak form. The data used for the monthly closing price of the stock indices S & P500 and S & P100 has 120 data. With a significance level of 1%, 5% and 10%, the Dickey-Fuller Test results allowed to check that the probability of error assumed by rejecting the null hypothesis is greater than 5% for both series, so we conclude that the series study are stationary and they follow a random walk during the period 2000-2009.
Palabras clave Hypothesis of efficient markets; random walk; skewness; kurtosis; autocorrelation; unit root
Miembros de la Universidad Loyola

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