Resumen

RUIZ DAVILA, Bardo Dage  y  GARCIA MUNOZ, Gerardo. Efficient Market Hypothesis and investment strategies in MILA: 2014-2019. Anál. econ. [online]. 2020, vol.35, n.90, pp.67-90.  Epub 15-Abr-2021. ISSN 2448-6655.

The aim of this research is to verify if the main stock indexes of the Latin American Integrated Market (LAIM) follow a random walk and if it is possible to consider that said market shows a behavior in accordance with the Efficient Market Hypothesis (EMH), this during the period of 2014 to 2019. The above is done through the test of runs, a robust test under heteroskedasticity of variance ratio and a trading rule is implemented to verify if in these indexes it is possible to obtain extraordinary returns. The results show that the market of Mexico, Chile and Colombia are efficient, while it is possible to obtain extraordinary returns in the Peruvian market and in the representative index of the LAIM.

Palabras llave : random walk; efficient markets; trading rule; C10; G10; G14.

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