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

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

Year 2015, Volume: 5 Issue: 2, 534 - 539, 01.06.2015

Katerin Hernández-gamarra Julio Sarmiento-sabogal Edgardo Cayon-fallon

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).

Keywords

Market efficiency, asymmetric Granger causality, asset-pricing models, MILA Index, oil prices

Year 2015, Volume: 5 Issue: 2, 534 - 539, 01.06.2015

Katerin Hernández-gamarra Julio Sarmiento-sabogal Edgardo Cayon-fallon

Abstract

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Details

Other ID	JA57RZ75EP
Journal Section	Research Article
Authors	Katerin Hernández-gamarra This is me Julio Sarmiento-sabogal This is me Edgardo Cayon-fallon This is me
Publication Date	June 1, 2015
Published in Issue	Year 2015 Volume: 5 Issue: 2

Cite

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.
AMA	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. June 2015;5(2):534-539.
Chicago	Hernández-gamarra, Katerin, Julio Sarmiento-sabogal, and 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”. International Journal of Energy Economics and Policy 5, no. 2 (June 2015): 534-39.
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	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, 2015.
ISNAD	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 5/2 (June 2015), 534-539.
JAMA	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, 2015, pp. 534-9.
Vancouver	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):534-9.