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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

Yıl 2015, Cilt: 5 Sayı: 2, 534 - 539, 01.06.2015

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

Öz

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).

Anahtar Kelimeler

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

Yıl 2015, Cilt: 5 Sayı: 2, 534 - 539, 01.06.2015

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

Öz

Toplam 0 adet kaynakça vardır.

Ayrıntılar

Diğer ID JA57RZ75EP
Bölüm Araştırma Makalesi
Yazarlar

Katerin Hernández-gamarra Bu kişi benim

Julio Sarmiento-sabogal Bu kişi benim

Edgardo Cayon-fallon Bu kişi benim

Yayımlanma Tarihi 1 Haziran 2015
Yayımlandığı Sayı Yıl 2015 Cilt: 5 Sayı: 2

Kaynak Göster

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. Haziran 2015;5(2):534-539.
Chicago Hernández-gamarra, Katerin, Julio Sarmiento-sabogal, ve 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, sy. 2 (Haziran 2015): 534-39.
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 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, 2015.
ISNAD 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 5/2 (Haziran 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 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, 2015, ss. 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.