Estimation of the efficiency of the Lima Stock Exchange (1990-2018)
DOI:
https://doi.org/10.15381/pc.v26i2.19960Keywords:
Stock Market, Market Efficiency, VAR Model, Emerging MarketsAbstract
This paper shows the estimation of a restricted VAR model at the relation between the return of assets traded at Bolsa de Valores de Lima (Lima stock Exchange) and the economic fundamentals: aggregate consumption, exports, aggregate investment and real exchange rate. Using quarterly data we conclude that exists semi-strong efficiency in relation to the fundamentals, this could be an indicator of achievment of the functions of financial system in the domestic economy.
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Copyright (c) 2021 David Gonzalo Chávez Vargas
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