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

Cilt: 5 Sayı: 2 1 Haziran 2015
  • Katerin Hernández-gamarra
  • Julio Sarmiento-sabogal
  • Edgardo Cayon-fallon
International Journal of Energy Economics and Policy Kapak
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).

Keywords

Ayrıntılar

Birincil Dil

İngilizce

Konular

-

Bölüm

-

Yazarlar

Katerin Hernández-gamarra Bu kişi benim

Julio Sarmiento-sabogal Bu kişi benim

Edgardo Cayon-fallon Bu kişi benim

Yayımlanma Tarihi

1 Haziran 2015

Gönderilme Tarihi

1 Haziran 2015

Kabul Tarihi

-

Yayımlandığı Sayı

Yıl 2015 Cilt: 5 Sayı: 2

IZ

https://izlik.org/JA48PN76DR

Kaynak Göster

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, ve 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 (01 Haziran 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, ve 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, c. 5, sy 2, ss. 534–539, Haz. 2015, [çevrimiçi]. Erişim adresi: 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 (01 Haziran 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, vd. “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, c. 5, sy 2, Haziran 2015, ss. 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]. 01 Haziran 2015;5(2):534-9. Erişim adresi: https://izlik.org/JA48PN76DR