A Test of the Market Efficiency of the Integrated Latin American Market (MILA) Index in Relation to Changes in the Price of Oil

Volume: 5 Number: 2 June 1, 2015
  • Katerin Hernández-gamarra
  • Julio Sarmiento-sabogal
  • Edgardo Cayon-fallon
International Journal of Energy Economics and Policy Cover
International Journal of Energy Economics and Policy
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A Test of the Market Efficiency of the Integrated Latin American Market (MILA) Index in Relation to Changes in the Price of Oil

Abstract

The purpose of this paper is to study if there is a Granger causality relationship between the price of oil and the prices of the stocks that compose the Integrated Latin American Market (MILA) Index. Our analysis found that from the perspective of the efficient market hypothesis (EMH), there is no empirical evidence that there is a Granger causality relationship between the price of oil and other commodities and the stocks that compose the MILA Index. Therefore, it is possible to conclude that based on the evidence, it is not possible to create an arbitrage strategy based on the price of oil and copper to achieve abnormal returns in the MILA Stock Market. In order to test for the Granger causality between the underlying variables, we used a leveraged bootstrap test developed by Hatemi-J (2012).

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Primary Language

English

Subjects

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Journal Section

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Authors

Katerin Hernández-gamarra This is me

Julio Sarmiento-sabogal This is me

Edgardo Cayon-fallon This is me

Publication Date

June 1, 2015

Submission Date

June 1, 2015

Acceptance Date

-

Published in Issue

Year 2015 Volume: 5 Number: 2

IZ

https://izlik.org/JA48PN76DR

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RIS / Bibtex
APA
Hernández-gamarra, K., Sarmiento-sabogal, J., & Cayon-fallon, E. (2015). A Test of the Market Efficiency of the Integrated Latin American Market (MILA) Index in Relation to Changes in the Price of Oil. International Journal of Energy Economics and Policy, 5(2), 534-539. https://izlik.org/JA48PN76DR
AMA
1.Hernández-gamarra K, Sarmiento-sabogal J, Cayon-fallon E. A Test of the Market Efficiency of the Integrated Latin American Market (MILA) Index in Relation to Changes in the Price of Oil. IJEEP. 2015;5(2):534-539. https://izlik.org/JA48PN76DR
Chicago
Hernández-gamarra, Katerin, Julio Sarmiento-sabogal, and Edgardo Cayon-fallon. 2015. “A Test of the Market Efficiency of the Integrated Latin American Market (MILA) Index in Relation to Changes in the Price of Oil”. International Journal of Energy Economics and Policy 5 (2): 534-39. https://izlik.org/JA48PN76DR.
EndNote
Hernández-gamarra K, Sarmiento-sabogal J, Cayon-fallon E (June 1, 2015) A Test of the Market Efficiency of the Integrated Latin American Market (MILA) Index in Relation to Changes in the Price of Oil. International Journal of Energy Economics and Policy 5 2 534–539.
IEEE
[1]K. Hernández-gamarra, J. Sarmiento-sabogal, and E. Cayon-fallon, “A Test of the Market Efficiency of the Integrated Latin American Market (MILA) Index in Relation to Changes in the Price of Oil”, IJEEP, vol. 5, no. 2, pp. 534–539, June 2015, [Online]. Available: https://izlik.org/JA48PN76DR
ISNAD
Hernández-gamarra, Katerin - Sarmiento-sabogal, Julio - Cayon-fallon, Edgardo. “A Test of the Market Efficiency of the Integrated Latin American Market (MILA) Index in Relation to Changes in the Price of Oil”. International Journal of Energy Economics and Policy 5/2 (June 1, 2015): 534-539. https://izlik.org/JA48PN76DR.
JAMA
1.Hernández-gamarra K, Sarmiento-sabogal J, Cayon-fallon E. A Test of the Market Efficiency of the Integrated Latin American Market (MILA) Index in Relation to Changes in the Price of Oil. IJEEP. 2015;5:534–539.
MLA
Hernández-gamarra, Katerin, et al. “A Test of the Market Efficiency of the Integrated Latin American Market (MILA) Index in Relation to Changes in the Price of Oil”. International Journal of Energy Economics and Policy, vol. 5, no. 2, June 2015, pp. 534-9, https://izlik.org/JA48PN76DR.
Vancouver
1.Katerin Hernández-gamarra, Julio Sarmiento-sabogal, Edgardo Cayon-fallon. A Test of the Market Efficiency of the Integrated Latin American Market (MILA) Index in Relation to Changes in the Price of Oil. IJEEP [Internet]. 2015 Jun. 1;5(2):534-9. Available from: https://izlik.org/JA48PN76DR