Detalles del proyecto
Descripción
The informational efficiency is an important element of the price discovery process. The Fama (1970) Efficient Market Hypothesis (EMH hereafter) states that a market is informally efficient when the price of its assets fully reflects the set of information available. EMH is important for the economy for two reasons: First, an efficient market is likely to get ¿fair prices¿, therefore the price discovery process is also fair. Second, the transaction costs (information costs) are zero, therefore the capital allocation is accurate. Despite the fact EMH has been challenged by behavioral finance, trading rules and even the 2007-2008 financial crisis, Malkiel (2011) believes it remains alive and those who differed might have a misconception of EMH, because the fundamental characteristic of efficient markets, the inexistence of long run arbitrage opportunities, remains valid. Thus, financial markets are relatively efficient while they coexist with and can be disturbed by behavioral aspects and even with Minsky¿s Financial Instability Hypothesis (FIH) (Malkiel, 2011). EMH does not imply that asset prices are always ¿correct.¿ Prices are always wrong, but no one knows for sure if they are too high or too low. EMH does not imply that bubbles in asset prices are impossible nor does it deny that environmental and behavioral factors cannot have profound influences on required rates of return and risk premiums. At its core, EMH implies that arbitrage opportunities for riskless gains do not exist in an efficiently functioning market and if they do appear from time to time that they do not persist. The evidence is clear that this version of EMH is strongly supported by the data. EMH can comfortably coexist with behavior finance, and the insights of Hyman Minsky are particularly relevant in eliminating the recent financial crisis. EMH establishes three forms of efficiency, namely weak-form efficiency, semi-strong efficiency and strong efficiency. Although weak and semi-strong forms have been empirically tested in many ways in developed markets, the evidence in Emerging and Latin-American (LATAM hereafter) markets is scarce. The weak-form efficiency has been tested in many ways, including the presence of autocorrelation and other elaborated measures such as momentum and seasonal trends. Lim and Brooks (2011) provide a comprehensive survey of the literature about weak-form efficiency. On the other hand, the delay in stock prices responses to new information from other markets might create arbitrage opportunities and violate the EMH in the semi-strong form. The literature has addressed a number of sources of information that affect the stock price dynamics, such as new releases of firm fundamentals, macroeconomic news and announcements from other markets (so-called contagion). This study tests informational efficiency in Emerging markets focusing in LATAM markets. Specifically, we measure semi-strong efficiency and therefore, how financial assets¿ prices and markets react to changes in fundamental performance and macroeconomic news. Also, whether financial assets¿ prices and markets react unbiased and instantly when shocks in other markets appear, relying on the assumption that there is a direct link among the studied markets. However, this connection seems to be affected by monetary policies that not only influence inflation and money supply, but also the exchange rates and stock markets (see for example: Feldstein (1980), Bredin, Hyde, Nitzsche, and O'Reilly (2007) and Farka (2009)). Moreover, this link seems to respond to contagion (Bekaert, Harvey, & Ng, 2005) and decoupling (Dooley & Hutchison, 2009) effects. By testing the EMH hypothesis in LATAM markets we will increase the academic understanding of these markets, and as mentioned, we will contribute to the scarce literature regarding semi strong efficiency in Colombia.}
Estado | Finalizado |
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Fecha de inicio/Fecha fin | 02/12/14 → 01/12/15 |
Financiación de proyectos
- Interna
- PONTIFICIA UNIVERSIDAD JAVERIANA