Mostrar el registro sencillo del ítem
Econometric 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]
dc.creator | Pérez C.L. | spa |
dc.creator | Arango M.A. | spa |
dc.creator | Hernández J.D. | spa |
dc.date.accessioned | 2017-12-19T19:36:49Z | |
dc.date.available | 2017-12-19T19:36:49Z | |
dc.date.created | 2017 | |
dc.identifier.issn | 7981015 | |
dc.identifier.uri | http://hdl.handle.net/11407/4348 | |
dc.description.abstract | A 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.iso | por | |
dc.publisher | Revista Espacios | spa |
dc.relation.isversionof | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85013790422&partnerID=40&md5=0f9160ac41f5e2a058d4b066261bf919 | spa |
dc.source | Scopus | spa |
dc.title | Econometric 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.type | Article | eng |
dc.rights.accessrights | info:eu-repo/semantics/restrictedAccess | |
dc.contributor.affiliation | Pérez, C.L., Universidad de Medellín, Colombia | spa |
dc.contributor.affiliation | Arango, M.A., Universidad de Medellín, Universidad Nacional de Colombia, Colombia | spa |
dc.contributor.affiliation | Hernández, J.D., Universidad Eafit, Colombia | spa |
dc.subject.keyword | ARMA-GARCH model | eng |
dc.subject.keyword | Asset pricing | eng |
dc.subject.keyword | Market efficiency | eng |
dc.publisher.faculty | Facultad de Ingenierías | spa |
dc.abstract | A 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.affiliation | Universidad de Medellín, Colombia | spa |
dc.creator.affiliation | Universidad de Medellín, Universidad Nacional de Colombia, Colombia | spa |
dc.creator.affiliation | Universidad Eafit, Colombia | spa |
dc.relation.ispartofes | Espacios | spa |
dc.relation.references | Agudelo, D.A., Gutiérrez, A., (2011) Anuncios macroeconómicos y mercados accionarios: El caso latinoamericano Macroeconomics and the stock market: The Case of Latin America, pp. 126-139 | spa |
dc.relation.references | Arango, M.A., (2014) "Racionalidad Limitada en la toma de decisiones: De la teoría de la utilidad esperada a las finanzas conductuales." Finananzas y Modelación, 1 | spa |
dc.relation.references | Arango, M.A., (2016) Model risk assessment projects in thermal power generation. Revista Espacios, 37 | spa |
dc.relation.references | Carlos, J., Gutiérrez, M., Guti, M., Efecto dia en el mercado accionario colombiano: Una aproximacion no parametrica (2010) Borradores de Economia | spa |
dc.relation.references | Chavez Fierro, R., (2015) Razones de la caída de los precios del petróleo | spa |
dc.relation.references | Duarte 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. 1-10 | spa |
dc.relation.references | Fama, E.F., Random walk in stock market prices (1965) Financial Analysts Journal | spa |
dc.relation.references | Fama, 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%253B2-6 | spa |
dc.relation.references | Fama, E.F., Efficient capital markets: A review of theory and empirical work (1970) THE JOURNAL OF FINANCE | spa |
dc.relation.references | Fama, E.F., Market efficiency, Long-Term returns, and behavioral finance (1997) Journal of Financial Economics | spa |
dc.relation.references | (2015) Informe de coyuntura económica | spa |
dc.relation.references | Narayan, 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.2015.12.008 | spa |
dc.relation.references | Schwert, G.W., (2003) Anomalies and Market Efficiency | spa |
dc.type.version | info:eu-repo/semantics/publishedVersion | |
dc.type.driver | info:eu-repo/semantics/article | |
dc.identifier.reponame | reponame:Repositorio Institucional Universidad de Medellín | spa |
dc.identifier.instname | instname:Universidad de Medellín | spa |
Ficheros en el ítem
Ficheros | Tamaño | Formato | Ver |
---|---|---|---|
No hay ficheros asociados a este ítem. |
Este ítem aparece en la(s) siguiente(s) colección(ones)
-
Indexados Scopus [1632]