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Análisis de la Versión Débil de la Hipótesis del Mercado Eficiente en el Perú

Author

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  • Espino, Freddy

Abstract

El presente trabajo analiza la Versión Débil de la Hipótesis del Mercado Eficiente (HME) para el Perú durante el periodo 2006-2021, contrastando empíricamente si el Índice General de la Bolsa de Valores de Lima (IGBVL) muestra una trayectoria similar a la de un proceso estocástico denominado paseo aleatorio. Las pruebas estadísticas indican que dicha característica no se refleja para datos con frecuencia diaria, semanal y mensual, pero sí para datos trimestrales. De esta manera, se concluye que la Versión Débil de la HME no se cumple en el caso peruano.

Suggested Citation

  • Espino, Freddy, 2023. "Análisis de la Versión Débil de la Hipótesis del Mercado Eficiente en el Perú," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 41, pages 48-75.
    • Handle: RePEc:rbp:esteco:ree-41-02
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    File URL: https://www.bcrp.gob.pe/docs/Publicaciones/Revista-Estudios-Economicos/41/ree-41-espino.pdf
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    More about this item

    Keywords

    Bolsa de valores; paseo aleatorio; mercados eficientes;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • M21 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics - - - Business Economics

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