Estimation of the efficiency of the Lima Stock Exchange (1990-2018)

Authors

  • David Gonzalo Chávez Vargas Superintendencia Nacional de Aduanas y de Administración Tributaria, Perú

DOI:

https://doi.org/10.15381/pc.v26i2.19960

Keywords:

Stock Market, Market Efficiency, VAR Model, Emerging Markets

Abstract

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.

Author Biography

  • David Gonzalo Chávez Vargas, Superintendencia Nacional de Aduanas y de Administración Tributaria, Perú

    Economista, Universidad Nacional Federico Villarreal, Lima, Perú. Egresado de Maestría en Finanzas, Universidad Nacional Mayor de San Marcos. Egresado de Maestría en Gestión Pública, Universidad San Martin de Porras. Egresado de Doctorado en Economía, Universidad Inca Garcilaso de la Vega. Oficial de Aduanas, Escuela Nacional de Aduanas, SUNAT.

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Published

2021-12-06

Issue

Vol. 26 No. 2 (2021)

Section

Artículos

License

Copyright (c) 2021 David Gonzalo Chávez Vargas

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How to Cite

Estimation of the efficiency of the Lima Stock Exchange (1990-2018). (2021). Pensamiento Crítico, 26(2), 143-163. https://doi.org/10.15381/pc.v26i2.19960