Resumen

RODRIGUEZ, Luis Mariano  y  FERMIN, José Simón. Efficient markets and random walk in the Caracas stock exchange. INCI [online]. 2006, vol.31, n.12, pp.888-893. ISSN 0378-1844.

A market is efficient when the prices of negotiated assets show all the available information and adjust completely and very fast to new information. When a market is efficient the changes in the prices of assets are unpredictable and for that reason they behave in a random walk manner. The purpose of this paper was to test the efficiency of the Venezuelan stock market, in its weak form. This research is of a correlational type because it is centered in defining the functional relationship (autocorrelation) of the index of the Caracas Stock Exchange (CSE) with itself. In order to fulfill this objective samples were taken weekly (on Fridays) from the CSE index from January 2001 to December 2004. Several statistical tests were applied to these data, namely the autocorrelation function, Bartlett´s test, Ljung-Box´s test and the unit root test, in order to determine if the time series index of the CSE is or is not random. It was concluded that the time series index of the CSE for the analyzed period was not stationary, showing a strong statistical evidence that the Venezuelan stock market is efficient in its weak form; that is, it follows a random walk.

Palabras clave : Bolsa de Valores ; Caminata Aleatoria ; Mercado Eficiente .