Econometric analysis of the Colombian oil sector from the perspective of the market efficiency hypothesis

Catalina Londoño Pérez, Mónica Andrea Arango Arango, Juan David Betancur Hernández

Resultado de la investigación: Contribución a una revistaArtículoInvestigaciónrevisión exhaustiva

Resumen

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.
Idioma originalInglés estadounidense
PublicaciónEspacios
EstadoPublicada - 1 ene 2017

Huella dactilar

Profitability
Econometric analysis
Oil
Market efficiency
Oils
Industry
Assets
Anomaly
Colombia
Listed companies
Stock exchange
Random walk

Citar esto

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title = "Econometric analysis of the Colombian oil sector from the perspective of the market efficiency hypothesis",
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.",
author = "P{\'e}rez, {Catalina Londo{\~n}o} and Arango, {M{\'o}nica Andrea Arango} and Hern{\'a}ndez, {Juan David Betancur}",
year = "2017",
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language = "American English",
journal = "Espacios",
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Econometric analysis of the Colombian oil sector from the perspective of the market efficiency hypothesis. / Pérez, Catalina Londoño; Arango, Mónica Andrea Arango; Hernández, Juan David Betancur.

En: Espacios, 01.01.2017.

Resultado de la investigación: Contribución a una revistaArtículoInvestigaciónrevisión exhaustiva

TY - JOUR

T1 - Econometric analysis of the Colombian oil sector from the perspective of the market efficiency hypothesis

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AU - Arango, Mónica Andrea Arango

AU - Hernández, Juan David Betancur

PY - 2017/1/1

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N2 - 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.

AB - 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.

M3 - Article

JO - Espacios

JF - Espacios

SN - 0798-1015

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