¿IS THE COLOMBIAN EXCHANGE MARKET EFFICIENT? A REVIEW BASED ON THE COINTEGRATION TESTING (Article published in Spanish)
DOI:
https://doi.org/10.1016/S0123-5923(07)70015-3Keywords:
Exchange regimes, efficiency of financial markets, co-integrationAbstract
This paper discusses the semi-strong efficiency of the Colombian exchange market from the perspective of two different exchange regimes, i.e. the exchange rate band and the flexible exchange rate systems. This study involved the use of different co-integration tests. In addition to this, a test of restraints of the co-integration parameters developed by Ferré and Hall (2002) was used as a tool to show that the co-integration of currency exchange markets does not necessarily reflect that the markets are inefficient. The study was conducted using data about daily exchange rates. The results show that both for the exchange rate band and the flexible exchange rate systems, the Colombian exchange market is efficient.
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