The Peruvian stock market and the efficient market hypothesis

This article examines the efficiency of the Peruvian stock market, analyzing its evolution since 1990 in the context of economic reforms and capital liberalization, in an environment characterized by growing dynamism and integration into international markets. Data from the General Index of the Lima Stock Exchange (BVL) are used, and tests for stationarity, autocorrelation, and cointegration are conducted to assess the presence of significant patterns in returns. The results indicate that, although there is positive autocorrelation in the short term and negative autocorrelation in the long term, this does not necessarily imply market inefficiency, suggesting that transaction costs and systematic errors may influence price behavior. In addition, no definitive evidence is found of increased volatility associated with market liberalization; rather, variability appears to be more closely related to economic instability. Finally, the limited cointegration with international markets suggests that the Peruvian market may be affected by domestic factors rather than by global interactions, implying that policies to improve efficiency should focus on reducing costs and improving access to information. (Abstract and audio: Department of Economic Publications)