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Article
Eficiencia del mercado accionario chileno: Un enfoque dinamico usando tests de volatilidad
Lecturas de Economia (2009)
  • Andres A. Acuña
  • Cristian F. Pinto
Abstract
This article studies the Chilean Stock Market's efficiency. To corroborate efficiency, we use a partial equilibrium model for financial asset pricing. We contrast between observed and expected Chilean stock price volatility under an efficient stock market framework. For the statistical analysis, we use monthly data for Chilean Stock Market prices from 1987 to 2007. Performing volatility tests, we find evidence of excess volatility in Chilean stock market prices. We cannot link this stock price excess volatility to the existence of a rational speculative bubble, nor to discount rate's excess volatility.
Keywords
  • asset pricing,
  • CAPM,
  • efficiency,
  • stock market
Disciplines
Publication Date
2009
Citation Information
Andres A. Acuña and Cristian F. Pinto. "Eficiencia del mercado accionario chileno: Un enfoque dinamico usando tests de volatilidad" Lecturas de Economia Vol. 70 (2009)
Available at: http://works.bepress.com/andres_acuna/1/