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Volumen, tamaño y ajuste a nueva información en el mercado accionario chileno

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Author Info
Pablo Marshall
Eduardo Walker

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Abstract

Se estudia aquí la dependencia serial y la velocidad de ajuste a nueva información en base a retornos semanales de portafolios de acciones transadas en la Bolsa de Valores de Santiago de Chile agrupados por tamaño y volumen transado durante el período 1991-2000. Se estudian autocorrelaciones, correlaciones seriales cruzadas, regresiones Dimson y modelos autorregresivos vectoriales con el propósito de detectar el poder predictivo de los retornos de ciertos grupos de acciones sobre otros. La evidencia indica que para retornos semanales existe un significativo nivel de autocorrelación. Hay también correlación serial cruzada significativa, en que un punto porcentual de retorno de las empresas líquidas y grandes (empresas “prime”, que no representan más del 10 por ciento de la muestra) permite predecir retornos significativos acumulados de entre 0,4 y 0,5 por ciento en el resto. Existe además evidencia de un Efecto Liquidez y, en menor medida, de un Efecto Tamaño, que separadamente implican la existencia

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File URL: http://econ.uchile.cl/public/Archivos/pub/46a6f7ad-a6cd-4454-8263-6483bd37f37d.pdf
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Publisher Info
Article provided by University of Chile, Department of Economics in its journal Estudios de Economia.

Volume (Year): 29 (2002)
Issue (Month): 2 Year 2002 (December)
Pages: 247-268
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Handle: RePEc:udc:esteco:v:29:y:2002:i:2:p:247-268

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Related research
Keywords: Portfolio returns; liquidity effect; size effect.;

Find related papers by JEL classification:
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G19 - Financial Economics - - General Financial Markets - - - Other

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

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    Other versions:
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  17. Dimson, Elroy, 1979. "Risk measurement when shares are subject to infrequent trading," Journal of Financial Economics, Elsevier, vol. 7(2), pages 197-226, June. [Downloadable!] (restricted)
  18. Owen, Joel & Rabinovitch, Ramon, 1983. " On the Class of Elliptical Distributions and Their Applications to the Theory of Portfolio Choice," Journal of Finance, American Finance Association, vol. 38(3), pages 745-52, June. [Downloadable!] (restricted)
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Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Rodrigo Aranda & Patricio Jaramillo, 2008. "Nonlinear Dynamic in the Chilean Stock Market: Evidence from Returns and Trading Volume," Working Papers Central Bank of Chile 463, Central Bank of Chile. [Downloadable!]
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