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dc.contributor.authorRojas, Omar
dc.coverage.spatialMéxico
dc.creatorOMAR GUILLERMO ROJAS ALTAMIRANO;344229
dc.date.accessioned2018-09-25T18:05:48Z
dc.date.available2018-09-25T18:05:48Z
dc.date.issued2018
dc.identifier.citationBrito-Cervantes, E., Coronado, S., Morales-García, M., Rojas, O.es_ES, en_US
dc.identifier.issn1012-8255
dc.identifier.otherCampus Guadalajaraes_ES, en_US
dc.identifier.urihttps://hdl.handle.net/20.500.12552/4680
dc.description.abstractPurpose: 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/approach: The Diks and Panchenko (DP) non-parametric Granger causality and the Brooks and Hinich (BH) cross-bicorrelation tests are applied. Findings: Derived 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/value: This paper complements studies on the P–V relationship and efficiency in a Latin American market.es_ES, en_US
dc.description.statementofresponsibilityInvestigadoreses_ES, en_US
dc.description.statementofresponsibilityMaestros
dc.description.statementofresponsibilityEstudiantes
dc.description.tableofcontentsCiencias Económicas y Empresarialeses_ES, en_US
dc.languageEspañoles_ES, en_US
dc.publisherEmeraldes_ES, en_US
dc.relationVersión del autores_ES, en_US
dc.relation.ispartofREPOSITORIO SCRIPTAes_ES, en_US
dc.relation.ispartofREPOSITORIO NACIONAL CONACYTes_ES, en_US
dc.relation.ispartofOPENAIREes_ES, en_US
dc.rightsAcceso Abiertoes_ES, en_US
dc.rights.urihttp://creativecommons.org/licenses/by-nc/4.0es_ES, en_US
dc.rights.urihttp://www.sherpa.ac.uk/romeo/search.php?id=31&la=es&fIDnum=|&mode=advanced&format=full
dc.subjectAdaptive market hypothesises_ES, en_US
dc.subjectNon-lineal Granger causality
dc.subjectNon-parametric tests
dc.subject.classificationCIENCIAS SOCIALESes_ES, en_US
dc.titleEficiencia adaptativa de la bolsa mexicana de valoreses_ES, en_US
dc.typeartículo preliminares_ES, en_US


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