(Universidad Icesi, 2015-10-01) Sierra Suárez, Katherine Julieth; Duarte Duarte, Juan Benjamín; Rueda Ortíz, Víctor Alfonso
Efficient markets are those in which it is not possible to predict the returns on assets. However, the adaptive
markets hypothesis (AMH) states that efficiency is not a static feature of markets, but varies in time
according to market conditions and the behavior of its agents. This paper seeks to test the predictability
of the Colombian market, using the automatic variance ratio test in moving windows, to check whether
it is efficient, and if efficiency is a static or dynamic feature of this market. The results show that the stock
indexes of Colombia have predictable periods and periods of high uncertainty that are consistent with
an adaptive market.
