HOW LONG IS THE MEMORY OF THE REGION LAC STOCK MARKET?
Paulo Alexandre
Escola Superior de Ciências Empresarias – Institute Polytechnic of Setúbal, Portugal
Rui Dias
Institute Polytechnic of Setúbal, Portugal & CEFAGE, University of Évora, Portugal
Paula Heliodoro
Escola Superior de Ciências Empresarias – Institute Polytechnic of Setúbal, Portugal
DOI: https://doi.org/10.31410/Balkans.JETSS.2020.3.2.131-137
Paulo Alexandre
Escola Superior de Ciências Empresarias – Institute Polytechnic of Setúbal, Portugal
Rui Dias
Institute Polytechnic of Setúbal, Portugal & CEFAGE, University of Évora, Portugal
Paula Heliodoro
Escola Superior de Ciências Empresarias – Institute Polytechnic of Setúbal, Portugal
DOI: https://doi.org/10.31410/Balkans.JETSS.2020.3.2.131-137
Balkans Journal of Emerging Trends in Social Sciences, (2020) , Vol 3, No 2
ISSN: 2620-164X
ISSN: 2620-164X
Abstract: Coronavirus Covid-19 is a type of outbreak that first appeared in December 2019 in the city of Wuhan, Hubei Province, China. It was declared a pandemic by the World Health Organization (WHO) on March 12, 2020. This trial aims to test the hypothesis of an efficient market, in its weak form, in the context of the global pandemic, in the financial markets of Argentina, Brazil, Chile, Colombia, Peru, Mexico. The sample comprises daily data from July 2015 to June 2020 and is divided into two sub-periods pre and during Covid-19. The purpose of this analysis was to answer whether: i) the global pandemic (Covid-19) increased synchronization in the financial markets under analysis? ii) if so, could the persistence of profitability delimit the hypothesis of portfolio diversification? The results of the Gregory-Hansen test show very significant levels of integration in the periods before and during the Covid pandemic. In addition, we found that most of the breaks in structure are in March 2020. The results of the DFA exponents show that during the pre-Covid period, the Peruvian market shows persistence, suggesting signs of inefficiency (long memories), while the Argentinean market shows anti persistence, and the remaining markets show an equilibrium trend. In addition, we found that during the COVID period the Chilean and Colombia markets show very significant signs of inefficiency, with moderate signs of in (efficiency) the Argentinean, Brazilian and Peruvian markets. In addition, we verified that the Mexican market shows signs of anti-persistence. In conclusion, the emerging markets of Latin America show, for the most part, long persistent and significant memories during the Covid pandemic outbreak, that is, they show signs of in (efficiency). The authors consider that the results achieved are of interest to investors seeking opportunities in these stock exchanges, as well as to policy makers to carry out institutional reforms in order to increase the efficiency of stock markets and promote the sustainable growth of financial markets.
Keywords: Covid-19; Market efficiency; Financial integration; Portfolio diversification.
JEL Classifications C58 · G10 · G11 · G12 · G14 · G15 · F30
REFERENCES
Aggarwal, D. (2018). Random walk model and asymmetric effect in Korean composite stock price index.
Afro-Asian J. of Finance and Accounting. https://doi.org/10.1504/aajfa.2018.10009906
Caporale, G. M., Gil-Alana, L. A., & Poza, C. (2020). High and low prices and the range in the European
stock markets: A long-memory approach. Research in International Business and Finance.
https://doi.org/10.1016/j.ribaf.2019.101126
Duarte Duarte, J. B., & Mascareñas Pérez-Iñigo, J. M. (2014). Comprobación de la eficiencia débil
en los principales mercados financieros latinoamericanos. Estudios Gerenciales. https://doi.
org/10.1016/j.estger.2014.05.005
Fama, E. F., & French, K. R. (1988). Dividend yields and expected stock returns. Journal of Financial
Economics. https://doi.org/10.1016/0304-405X(88)90020-7
Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime
shifts. Journal of Econometrics, 70(1), 99–126. https://doi.org/10.1016/0304-4076(69)41685-7
Lawrence H. Summers. (1986). Does the stock market rationally reflect fundamental values. The Journal
of Finance. https://doi.org/10.2307/2328487
Liu, H., Manzoor, A., Wang, C., Zhang, L., & Manzoor, Z. (2020). The COVID-19 outbreak and affected
countries stock markets response. International Journal of Environmental Research and
Public Health. https://doi.org/10.3390/ijerph17082800
Malafeyev, O., Awasthi, A., S.Kambekar, K., & Kupinskaya, A. (2019). Random Walks and Market
Efficiency in Chinese and Indian Equity Markets. Statistics, Optimization & Information Computing.
https://doi.org/10.19139/soic.v7i1.499
Milos, L. R., Hatiegan, C., Milos, M. C., Barna, F. M., & Botoc, C. (2020). Multifractal detrended
fluctuation analysis (MF-DFA) of stock market indexes. Empirical evidence from seven central
and eastern European markets. Sustainability (Switzerland). https://doi.org/10.3390/su12020535
Peng, C. K., Buldyrev, S. V., Havlin, S., Simons, M., Stanley, H. E., & Goldberger, A. L. (1994). Mosaic
organization of DNA nucleotides. Physical Review E, 49(2), 1685–1689. https://doi.org/10.1103/
PhysRevE.49.1685
Rehman, S., Chhapra, I. U., Kashif, M., & Rehan, R. (2018). Are Stock Prices a Random Walk? An
Empirical Evidence of Asian Stock Markets. Etikonomi. https://doi.org/10.15408/etk.v17i2.7102
Ruiz-Porras, A., & Ruiz-Robles, B. (2015). La hipótesis de eficiencia y la modelación de series
bursátiles mexicanas: un análisis multivariado. Economía Informa. https://doi.org/10.1016/
s0185-0849(15)30003-7
Sierra Suárez, K. J., Duarte Duarte, J. B., & Mascareñas Pérez-Iñigo, J. M. (2013). Comprobación del
Comportamiento Caótico en Bolsa de Valores de Colombia. Revista Estrategia Organizacional.
https://doi.org/10.22490/25392786.1480
Worthington, A. C., & Higgs, H. (2013). Tests of random walks and market efficiency in Latin American
stock markets: An empirical note. Pathogens and Global Health. https://doi.org/10.1179/20
4777213X13869290853977
Zeren, F., & Hizarci, A. (2020). The Impact of Covid-19 Coronavirus on Stock Markets: Evidence
from Selected Countries. Muhasebe ve Finans İncelemeleri Dergisi. https://doi.org/10.32951/
mufider.706159
Zeren, F., & Hizarci, A. (2020). The Impact of Covid-19 Coronavirus on Stock Markets: Evidence
from Selected Countries
Keywords: Covid-19; Market efficiency; Financial integration; Portfolio diversification.
JEL Classifications C58 · G10 · G11 · G12 · G14 · G15 · F30
REFERENCES
Aggarwal, D. (2018). Random walk model and asymmetric effect in Korean composite stock price index.
Afro-Asian J. of Finance and Accounting. https://doi.org/10.1504/aajfa.2018.10009906
Caporale, G. M., Gil-Alana, L. A., & Poza, C. (2020). High and low prices and the range in the European
stock markets: A long-memory approach. Research in International Business and Finance.
https://doi.org/10.1016/j.ribaf.2019.101126
Duarte Duarte, J. B., & Mascareñas Pérez-Iñigo, J. M. (2014). Comprobación de la eficiencia débil
en los principales mercados financieros latinoamericanos. Estudios Gerenciales. https://doi.
org/10.1016/j.estger.2014.05.005
Fama, E. F., & French, K. R. (1988). Dividend yields and expected stock returns. Journal of Financial
Economics. https://doi.org/10.1016/0304-405X(88)90020-7
Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime
shifts. Journal of Econometrics, 70(1), 99–126. https://doi.org/10.1016/0304-4076(69)41685-7
Lawrence H. Summers. (1986). Does the stock market rationally reflect fundamental values. The Journal
of Finance. https://doi.org/10.2307/2328487
Liu, H., Manzoor, A., Wang, C., Zhang, L., & Manzoor, Z. (2020). The COVID-19 outbreak and affected
countries stock markets response. International Journal of Environmental Research and
Public Health. https://doi.org/10.3390/ijerph17082800
Malafeyev, O., Awasthi, A., S.Kambekar, K., & Kupinskaya, A. (2019). Random Walks and Market
Efficiency in Chinese and Indian Equity Markets. Statistics, Optimization & Information Computing.
https://doi.org/10.19139/soic.v7i1.499
Milos, L. R., Hatiegan, C., Milos, M. C., Barna, F. M., & Botoc, C. (2020). Multifractal detrended
fluctuation analysis (MF-DFA) of stock market indexes. Empirical evidence from seven central
and eastern European markets. Sustainability (Switzerland). https://doi.org/10.3390/su12020535
Peng, C. K., Buldyrev, S. V., Havlin, S., Simons, M., Stanley, H. E., & Goldberger, A. L. (1994). Mosaic
organization of DNA nucleotides. Physical Review E, 49(2), 1685–1689. https://doi.org/10.1103/
PhysRevE.49.1685
Rehman, S., Chhapra, I. U., Kashif, M., & Rehan, R. (2018). Are Stock Prices a Random Walk? An
Empirical Evidence of Asian Stock Markets. Etikonomi. https://doi.org/10.15408/etk.v17i2.7102
Ruiz-Porras, A., & Ruiz-Robles, B. (2015). La hipótesis de eficiencia y la modelación de series
bursátiles mexicanas: un análisis multivariado. Economía Informa. https://doi.org/10.1016/
s0185-0849(15)30003-7
Sierra Suárez, K. J., Duarte Duarte, J. B., & Mascareñas Pérez-Iñigo, J. M. (2013). Comprobación del
Comportamiento Caótico en Bolsa de Valores de Colombia. Revista Estrategia Organizacional.
https://doi.org/10.22490/25392786.1480
Worthington, A. C., & Higgs, H. (2013). Tests of random walks and market efficiency in Latin American
stock markets: An empirical note. Pathogens and Global Health. https://doi.org/10.1179/20
4777213X13869290853977
Zeren, F., & Hizarci, A. (2020). The Impact of Covid-19 Coronavirus on Stock Markets: Evidence
from Selected Countries. Muhasebe ve Finans İncelemeleri Dergisi. https://doi.org/10.32951/
mufider.706159
Zeren, F., & Hizarci, A. (2020). The Impact of Covid-19 Coronavirus on Stock Markets: Evidence
from Selected Countries
| balkans_jetss_vol_3_no_2_131-137.pdf |
Association of Economists and Managers of the Balkans
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