Analysis of the Weak Version of the Efficient Market Hypothesis in Peru.

This paper analyzes the Weak Version of the Efficient Market Hypothesis (EMH) for Peru during the period 2006-2021. The EMH is based on the work of Fama (1970), who indicates that a market is efficient if the prices of financial assets "fully reflect" all available information. In addition, Malkiel (2003) says that a market is efficient if it does not allow investors to obtain higher-than-average returns without assuming higher risks than the average investor. In its Weak Version, the EMH points out that the prices of financial assets reflect all past price information, as well as all information related to their transaction over time, such as transaction volume, interest rates, etc. In statistical terms, the Weak Version of the EMH leads to the concept of the stochastic process called random walk, which, by definition, cannot be predicted. In this way, the empirical test carried out in the present work consists of investigating whether the General Index of the Lima Stock Exchange (IGBVL) has a trajectory like that of a random walk process. This pattern is not reproduced in the case of data with daily frequency, weekly and monthly, and it does in the case of quarterly data. Therefore, it is concluded that the Weak Version of the EMH is not fulfilled in the Peruvian case.