Evaluación de la hipótesis de eficiencia débil y análisis de causalidad en las centrales de abastos de Colombia

Leonardo Henán Talero-Sarmiento; Henry Lamos-Díaz; Edwin Alberto Garavito-Hernàndez

doi:10.19053/01203053.v38.n67.2019.8040

Evaluación de la hipótesis de eficiencia débil y análisis de causalidad en las centrales de abastos de Colombia

Translated title of the contribution: Testing the Weak Form of Efficient Market Hypothesis and Causality Analysis in Colombian Food Supply Centers

Leonardo Henán Talero-Sarmiento, Henry Lamos-Díaz, Edwin Alberto Garavito-Hernàndez

Research output: Articles / Notes › Scientific Article › peer-review

Abstract

In Colombia, there are traditional food supply centers to trade agricnlmral products. Government Institutions publish sale prices of these products in weekly reports. In order to determine the random characteristics of these price series and if there are relationships between the centers, we use a battery of six different tests to examine the weak form of efficient market hypothesis and the Granger causality test. For this, this work collected the historical weekly price of 28 agricultural products, taking into account six markets, during the first week of 2013 to the last week of 2017. The main results indicate that markets tend towards efficiency, however, the efficiency depends on the product traded. In addition, the centers in Manizales. Barranquilla and Villavicencio influence the prices of the Bogotá, Bucaramanga and Medellín markets.

Translated title of the contribution	Testing the Weak Form of Efficient Market Hypothesis and Causality Analysis in Colombian Food Supply Centers
Original language	Spanish
Pages (from-to)	35-69
Number of pages	35
Journal	Apuntes del CENES
Volume	38
Issue number	67
DOIs	https://doi.org/10.19053/01203053.v38.n67.2019.8040
State	Published - 2019
Externally published	Yes

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10.19053/01203053.v38.n67.2019.8040

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title = "Evaluaci{\'o}n de la hip{\'o}tesis de eficiencia d{\'e}bil y an{\'a}lisis de causalidad en las centrales de abastos de Colombia",

abstract = "In Colombia, there are traditional food supply centers to trade agricnlmral products. Government Institutions publish sale prices of these products in weekly reports. In order to determine the random characteristics of these price series and if there are relationships between the centers, we use a battery of six different tests to examine the weak form of efficient market hypothesis and the Granger causality test. For this, this work collected the historical weekly price of 28 agricultural products, taking into account six markets, during the first week of 2013 to the last week of 2017. The main results indicate that markets tend towards efficiency, however, the efficiency depends on the product traded. In addition, the centers in Manizales. Barranquilla and Villavicencio influence the prices of the Bogot{\'a}, Bucaramanga and Medell{\'i}n markets.",

keywords = "Granger causality, Hypotesis testing, agricultural markets, agricultural prices, microeconomics",

author = "Talero-Sarmiento, {Leonardo Hen{\'a}n} and Henry Lamos-D{\'i}az and Garavito-Hern{\`a}ndez, {Edwin Alberto}",

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doi = "10.19053/01203053.v38.n67.2019.8040",

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AU - Talero-Sarmiento, Leonardo Henán

AU - Lamos-Díaz, Henry

AU - Garavito-Hernàndez, Edwin Alberto

PY - 2019

Y1 - 2019

N2 - In Colombia, there are traditional food supply centers to trade agricnlmral products. Government Institutions publish sale prices of these products in weekly reports. In order to determine the random characteristics of these price series and if there are relationships between the centers, we use a battery of six different tests to examine the weak form of efficient market hypothesis and the Granger causality test. For this, this work collected the historical weekly price of 28 agricultural products, taking into account six markets, during the first week of 2013 to the last week of 2017. The main results indicate that markets tend towards efficiency, however, the efficiency depends on the product traded. In addition, the centers in Manizales. Barranquilla and Villavicencio influence the prices of the Bogotá, Bucaramanga and Medellín markets.

AB - In Colombia, there are traditional food supply centers to trade agricnlmral products. Government Institutions publish sale prices of these products in weekly reports. In order to determine the random characteristics of these price series and if there are relationships between the centers, we use a battery of six different tests to examine the weak form of efficient market hypothesis and the Granger causality test. For this, this work collected the historical weekly price of 28 agricultural products, taking into account six markets, during the first week of 2013 to the last week of 2017. The main results indicate that markets tend towards efficiency, however, the efficiency depends on the product traded. In addition, the centers in Manizales. Barranquilla and Villavicencio influence the prices of the Bogotá, Bucaramanga and Medellín markets.

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KW - Hypotesis testing

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KW - agricultural prices

KW - microeconomics

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DO - 10.19053/01203053.v38.n67.2019.8040

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Evaluación de la hipótesis de eficiencia débil y análisis de causalidad en las centrales de abastos de Colombia

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