Keywords
Gibbs sampler
reversión a la media
Variance ratio test
How to Cite
Abstract
We study the existence of mean reversion in the Puerto Rico Stock Index (PRSI) for short and long term difference in lags, using Bayesian techniques. The monthly closing price of this index from December 1995 to August 2006 is used. A modified version of the Gibbs sampler is used to generate the variances of the PRSI returns, and a variance ratio test is used to see if mean reversion exists in the data. Statistical evidence of mean reversion was found for short term lags (3 and 12 months). This finding implies that for these lags, the monthly returns of PRSI are negatively autocorrelated and as such, display some degree of predictability. This result contrasts with previous studies done, using classical statistical methods, where monthly returns of the PRSI for the 1995-1998 periods behave as a random walk.By submitting a contribution to consideration of the Editorial Board of Fórum Empresarial, the authors attest that it is an original, unpublished work, which has not been nor will be simultaneously submitted to another journal for consideration and publication; that they are responsible for the work carried out and the content of the article; and they have the corresponding copyrights.
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