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Eficiencia del mercado accionario chileno: un enfoque dinámico usando tests de volatilidad

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Acuña, Andrés ()
Pinto, Cristián ()

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Abstract

Resumen: En este artículo estudiamos la eficiencia del Mercado Accionario Chileno (MAC). Para su comprobación usamos un modelo de equilibrio parcial que representa la manera como se forma el precio de los activos financieros. Contrastamos la volatilidad observada en los precios de las acciones y la volatilidad esperada en un modelo de mercado accionario eficiente. El análisis estadístico comprende datos de frecuencia mensual de títulos transados en la Bolsa de Comercio de Santiago de Chile en el periodo 1987-2007. Utilizando tests de volatilidad, encontramos evidencia de exceso de volatilidad en los precios del mercado accionario chileno; no podemos vincular el exceso de volatilidad a la existencia de una burbuja especulativa racional, y tampoco a un exceso de volatilidad en la tasa de descuento.

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Article provided by UNIVERSIDAD DE ANTIOQUIA - CIE in its journal Lecturas de Economia.

Volume (Year): (2009)
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Handle: RePEc:col:000174:005776

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