Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

Adaptive efficiency of the Mexican Stock Exchange

Adaptive efficiency of the Mexican Stock Exchange The purpose of this paper is to analyse the adaptive market efficiency in the price–volume (P–V) relationship of the stocks listed in the Mexican Stock Exchange. The period under study goes from 1982 to 2015. In order to detect causality and, thus, determine adaptive efficiency in the market, one linear and two non-linear tests are applied. There are few papers in the literature that study the P–V relationship in Latin American markets; as such, this paper may be of interest and importance to financial academics and practitioners alike.Design/methodology/approachThe Diks and Panchenko (DP) non-parametric Granger causality and the Brooks and Hinich (BH) cross-bicorrelation tests are applied.FindingsDerived from the DP test, the findings show that there exists bi-directional non-linear Granger causality in 25.71 per cent of the firms studied, compared to 8 per cent when applying the linear Granger causality test. Therefore, there is evidence of weak-form efficiency in the market. From the BH test, evidence is shown of the adaptive market efficiency, since 71.42 per cent of firms exhibited some form of non-linear dependence in certain periods of time. With these results, the information process should be better studied for a greater comprehension of regulatory policies in the market and better decision-making tools for the investors.Originality/valueThis paper complements studies on the P–V relationship and efficiency in a Latin American market. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Academia Revista Latinoamericana de Administración Emerald Publishing

Loading next page...
 
/lp/emerald-publishing/adaptive-efficiency-of-the-mexican-stock-exchange-aHcu9hoKFV

References (48)

Publisher
Emerald Publishing
Copyright
© Emerald Publishing Limited
ISSN
1012-8255
DOI
10.1108/arla-11-2016-0313
Publisher site
See Article on Publisher Site

Abstract

The purpose of this paper is to analyse the adaptive market efficiency in the price–volume (P–V) relationship of the stocks listed in the Mexican Stock Exchange. The period under study goes from 1982 to 2015. In order to detect causality and, thus, determine adaptive efficiency in the market, one linear and two non-linear tests are applied. There are few papers in the literature that study the P–V relationship in Latin American markets; as such, this paper may be of interest and importance to financial academics and practitioners alike.Design/methodology/approachThe Diks and Panchenko (DP) non-parametric Granger causality and the Brooks and Hinich (BH) cross-bicorrelation tests are applied.FindingsDerived from the DP test, the findings show that there exists bi-directional non-linear Granger causality in 25.71 per cent of the firms studied, compared to 8 per cent when applying the linear Granger causality test. Therefore, there is evidence of weak-form efficiency in the market. From the BH test, evidence is shown of the adaptive market efficiency, since 71.42 per cent of firms exhibited some form of non-linear dependence in certain periods of time. With these results, the information process should be better studied for a greater comprehension of regulatory policies in the market and better decision-making tools for the investors.Originality/valueThis paper complements studies on the P–V relationship and efficiency in a Latin American market.

Journal

Academia Revista Latinoamericana de AdministraciónEmerald Publishing

Published: Aug 22, 2018

Keywords: Adaptive market hypothesis; Non-lineal Granger causality; Non-parametric tests; Causalidad no-lineal de Granger; Pruebas no-paramétricas; Hipótesis del mercado adaptativo; C14; C22; E44

There are no references for this article.