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A test of the efficient market hypothesis with regard to the exchange rates and the yield to maturity in Colombia

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dc.contributor.authorSarmiento Sabogal, Julio Alejandro
dc.contributor.authorHatemi J., Abdulnasser
dc.contributor.authorCayón Fallon, Edgardo
dc.contributor.orcidSarmiento Sabogal, Julio Alejandro [0000-0001-5986-4813]
dc.contributor.orcidHatemi J., Abdulnasser [0000-0002-6212-1292]
dc.contributor.orcidCayón Fallon, Edgardo [0000-0002-4113-5521]
dc.contributor.scopusSarmiento Sabogal, Julio Alejandro [57196465468]
dc.contributor.scopusHatemi J., Abdulnasser [6603559832]
dc.contributor.scopusCayón Fallon, Edgardo [56395390800]
dc.date.accessioned2023-06-21T22:23:09Z
dc.date.available2023-06-21T22:23:09Z
dc.date.issued2016
dc.description.abstractenglishThis article investigates the informational efficiency of the Colombian stock market with regard to the information contained in the exchange rates as well as the yield to maturity. Since the underlying data is non-normal with time-varying volatility we make use of tests that are based on bootstrap simulations with leverage adjustments in order to create reliable critical values. The results show that neither the exchange rates nor the yield to maturity is causing the stock price index. This is interpreted as empirical support for the efficient market hypothesis in that the Colombian stock market is with regard to these two main variables.eng
dc.description.orcidhttps://orcid.org/0000-0001-5986-4813
dc.description.orcidhttps://orcid.org/0000-0002-6212-1292
dc.description.orcidhttps://orcid.org/0000-0002-4113-5521
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=57196465468
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=6603559832
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=56395390800
dc.identifier.eissn2224-2899
dc.identifier.instnameinstname:Colegio de Estudios Superiores de Administración – CESA
dc.identifier.issn1109-9526
dc.identifier.reponamereponame:Biblioteca Digital – CESA
dc.identifier.repourlrepourl:https://repository.cesa.edu.co/
dc.identifier.urihttp://hdl.handle.net/10726/5113
dc.identifier.urlhttps://wseas.com/journals/articles.php?id=3609
dc.language.isoeng
dc.publisherWorld Scientific and Engineering Academy and Society (WSEAS)
dc.relation.citationendpage329
dc.relation.citationstartpage321
dc.relation.citationvolume13
dc.relation.ispartofjournalWSEAS Transactions on Business and Economics
dc.rights.accessrightsinfo:eu-repo/semantics/openAccess
dc.rights.coarhttp://purl.org/coar/access_right/c_abf2
dc.rights.localAbierto (Texto Completo)
dc.subject.proposalEMH
dc.subject.proposalColombia Stock Market
dc.subject.proposalGranger Causality
dc.titleA test of the efficient market hypothesis with regard to the exchange rates and the yield to maturity in Colombiaeng
dc.typearticle
dc.type.coarhttp://purl.org/coar/resource_type/c_2df8fbb1
dc.type.coarversionhttp://purl.org/coar/version/c_71e4c1898caa6e32
dc.type.driverinfo:eu-repo/semantics/article
dc.type.redcolhttp://purl.org/redcol/resource_type/ART
dc.type.versioninfo:eu-repo/semantics/acceptedVersion

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