CIICS 2018
Resumen
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Abstract
The objective of this document is to evaluate the efficiency in the main stock markets of
Latin America, from the analysis of the behavior of the investors belonging to the stock
exchanges selected, in order to study the rationality of the same, the incidence of the
decision-making processes of economic agents and their subsequent impact on the
movement of financial assets. For this, the returns and transaction volume of the most
representative index of Mexico (MEXBOL), Brazil (IBOVESPA), Chile (IPSA),
Colombia (COLCAP), Peru (S&P LIMA GENERAL) and Argentina (MERVAL) and the
economic sectors that belong the same, using the model proposed by Dhaoui (2011),
covering the time period between January 3, 2000 and August 17, 2016, divided into three
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CIICS 2018
sub-periods around the subprime crisis: pre crisis (2000 - 2008), crisis (2008 - 2010) and
post - crisis (2010 - 2016). The results obtained reveal the presence of different behavioral
biases in the analyzed markets and their variation with respect to each of the study
periods.