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Efficiency of the Chilean stock market: A dynamic approach using volatility tests

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  • Andrés Acuña
  • Cristián 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.

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Bibliographic Info

Article provided by Universidad de Antioquia, Departamento de Economía in its journal LECTURAS DE ECONOMÍA.

Volume (Year): (2009)
Issue (Month): 70 ()
Pages: 39-61

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Handle: RePEc:lde:journl:y:2009:i:70:p:39-61

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Web page: http://economia.udea.edu.co
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Postal: Lecturas de Economía, Departamento de Economía, Calle 67, 53-108, Medellin 050010, Colombia.

Related research

Keywords: efficiency; stock market; asset pricing; CAPM;

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