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dc.creatorPérez C.L.spa
dc.creatorArango M.A.spa
dc.creatorHernández J.D.spa
dc.date.accessioned2017-12-19T19:36:49Z
dc.date.available2017-12-19T19:36:49Z
dc.date.created2017
dc.identifier.issn7981015
dc.identifier.urihttp://hdl.handle.net/11407/4348
dc.description.abstractA study on the Market Efficiency Theory in its weak and semi-strong form, for oil companies listed on the Colombia Stock Exchange is done, considering the effect of WTI in these. The article shows that only profitability series of Ecopetrol can be considered as random walk through a further transformation using the WTI in the model, but in the other assets there is no Market Efficiency in its weak form. Stable models in mean and variance for assets and additional models including the performance of WTI as a variable within models of actions were found, showing signs of market efficiency in its semi-strong form. Since then it is not possible to demonstrate efficiency for all actions, for purposes of this paper concludes that the Colombian market presents anomalies.eng
dc.language.isopor
dc.publisherRevista Espaciosspa
dc.relation.isversionofhttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85013790422&partnerID=40&md5=0f9160ac41f5e2a058d4b066261bf919spa
dc.sourceScopusspa
dc.titleEconometric analysis of the Colombian oil sector from the perspective of the market efficiency hypothesis [Análisis econométrico del sector petrolero colombiano desde la perspectiva de la hipótesis de eficiencia de mercado]spa
dc.typeArticleeng
dc.rights.accessrightsinfo:eu-repo/semantics/restrictedAccess
dc.contributor.affiliationPérez, C.L., Universidad de Medellín, Colombiaspa
dc.contributor.affiliationArango, M.A., Universidad de Medellín, Universidad Nacional de Colombia, Colombiaspa
dc.contributor.affiliationHernández, J.D., Universidad Eafit, Colombiaspa
dc.subject.keywordARMA-GARCH modeleng
dc.subject.keywordAsset pricingeng
dc.subject.keywordMarket efficiencyeng
dc.publisher.facultyFacultad de Ingenieríasspa
dc.abstractA study on the Market Efficiency Theory in its weak and semi-strong form, for oil companies listed on the Colombia Stock Exchange is done, considering the effect of WTI in these. The article shows that only profitability series of Ecopetrol can be considered as random walk through a further transformation using the WTI in the model, but in the other assets there is no Market Efficiency in its weak form. Stable models in mean and variance for assets and additional models including the performance of WTI as a variable within models of actions were found, showing signs of market efficiency in its semi-strong form. Since then it is not possible to demonstrate efficiency for all actions, for purposes of this paper concludes that the Colombian market presents anomalies.eng
dc.creator.affiliationUniversidad de Medellín, Colombiaspa
dc.creator.affiliationUniversidad de Medellín, Universidad Nacional de Colombia, Colombiaspa
dc.creator.affiliationUniversidad Eafit, Colombiaspa
dc.relation.ispartofesEspaciosspa
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dc.relation.referencesArango, M.A., (2014) "Racionalidad Limitada en la toma de decisiones: De la teoría de la utilidad esperada a las finanzas conductuales." Finananzas y Modelación, 1spa
dc.relation.referencesArango, M.A., (2016) Model risk assessment projects in thermal power generation. Revista Espacios, 37spa
dc.relation.referencesCarlos, J., Gutiérrez, M., Guti, M., Efecto dia en el mercado accionario colombiano: Una aproximacion no parametrica (2010) Borradores de Economiaspa
dc.relation.referencesChavez Fierro, R., (2015) Razones de la caída de los precios del petróleospa
dc.relation.referencesDuarte Duarte, J.B., Mascareñas Pérez-Iñigo, J.M., Sierra Suárez, K.J., Testing the efficiency market hypothesis for the Colombian stock market (2014) Dyna, 81 (1), pp. 1-10spa
dc.relation.referencesFama, E.F., Random walk in stock market prices (1965) Financial Analysts Journalspa
dc.relation.referencesFama, E.F., (1965) The Behavior of Stock-Market Prices, 38 (1), pp. 34-105. , http://links.jstor.org/sici?sici=0021-9398%2528196501%252938%253A1%253C34%253ATBOSP%253E2.0.CO%253B2-6spa
dc.relation.referencesFama, E.F., Efficient capital markets: A review of theory and empirical work (1970) THE JOURNAL OF FINANCEspa
dc.relation.referencesFama, E.F., Market efficiency, Long-Term returns, and behavioral finance (1997) Journal of Financial Economicsspa
dc.relation.references(2015) Informe de coyuntura económicaspa
dc.relation.referencesNarayan, P.K., Liu, R., Westerlund, J., A GARCH model for testing market efficiency (2016) Journal of International Financial Markets, Institutions and Money, 41, pp. 121-138. , http://doi.org/10.1016/j.intfin.2015.12.008spa
dc.relation.referencesSchwert, G.W., (2003) Anomalies and Market Efficiencyspa
dc.type.versioninfo:eu-repo/semantics/publishedVersion
dc.type.driverinfo:eu-repo/semantics/article
dc.identifier.reponamereponame:Repositorio Institucional Universidad de Medellínspa
dc.identifier.instnameinstname:Universidad de Medellínspa


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