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Eficiencia del Mercado Accionario Chileno: Un Enfoque Dinámico usando Tests de Volatilidad
[Chilean Stock Market Efficiency: A Dynamic Approach using Volatility Tests]

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  • Acuña, Andrés
  • Pinto, Cristián

Abstract

In this paper we analyze the Chilean Stock Market's efficiency level. The efficiency concept, relates financial asset prices, the outcome from investment decisions, with all the information available to economic agents in their rational economic decision making process. To corroborate the stock market efficiency we used a theorical model for financial asset pricing, which consists in a partial equilibrium model with an optimal solution that determines intertemporal consumption decisions. We analyze the observed and expected Chilean shares's volatility under an efficient stock market framework, in order to determine the presence of speculative bubbles and discount rate variability. In our analysis we used monthly data for the Chilean Stock Market prices from 1987 to 2007.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 7387.

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Date of creation: Nov 2007
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Handle: RePEc:pra:mprapa:7387

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

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  1. Diba, Behzad T & Grossman, Herschel I, 1988. "Explosive Rational Bubbles in Stock Prices?," American Economic Review, American Economic Association, American Economic Association, vol. 78(3), pages 520-30, June.
  2. Sanford J. Grossman & Robert J. Shiller, 1980. "The Determinants of the Variability of Stock Market Prices," NBER Working Papers 0564, National Bureau of Economic Research, Inc.
  3. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, Econometric Society, vol. 49(4), pages 1057-72, June.
  4. Campbell, John & Shiller, Robert, 1988. "Stock Prices, Earnings, and Expected Dividends," Scholarly Articles 3224293, Harvard University Department of Economics.
  5. Campbell, John Y & Shiller, Robert J, 1987. "Cointegration and Tests of Present Value Models," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 95(5), pages 1062-88, October.
  6. Hamilton, James D & Gang, Lin, 1996. "Stock Market Volatility and the Business Cycle," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 11(5), pages 573-93, Sept.-Oct.
  7. Robert J. Shiller, 1980. "The Use of Volatility Measures in Assessing Market Efficiency," NBER Working Papers 0565, National Bureau of Economic Research, Inc.
  8. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, American Finance Association, vol. 25(2), pages 383-417, May.
  9. LeRoy, Stephen F, 1989. "Efficient Capital Markets and Martingales," Journal of Economic Literature, American Economic Association, vol. 27(4), pages 1583-1621, December.
  10. Stiglitz, Joseph E, 1982. "The Inefficiency of the Stock Market Equilibrium," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 49(2), pages 241-61, April.
  11. repec:fth:calaec:13-89 is not listed on IDEAS
  12. Kenneth D. West, 1988. "Bubbles, Fads, and Stock Price Volatility Tests: A Partial Evaluation," NBER Working Papers 2574, National Bureau of Economic Research, Inc.
  13. Timmermann, Allan Gilling, 1993. " Learning, Specification Search and Market Efficiency. With an Application to the Danish Stock Market," Scandinavian Journal of Economics, Wiley Blackwell, Wiley Blackwell, vol. 95(2), pages 157-73.
  14. Frederic S. Mishkin, 1978. "Efficient-Markets Theory: Implications for Monetary Policy," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 9(3), pages 707-752.
  15. LeRoy, Stephen F & Porter, Richard D, 1981. "The Present-Value Relation: Tests Based on Implied Variance Bounds," Econometrica, Econometric Society, Econometric Society, vol. 49(3), pages 555-74, May.
  16. John H. Cochrane, 1991. "Volatility Tests and Efficient Markets: A Review Essay," NBER Working Papers 3591, National Bureau of Economic Research, Inc.
  17. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, Econometric Society, vol. 46(6), pages 1429-45, November.
  18. Burton G. Malkiel, 2003. "The Efficient Market Hypothesis and Its Critics," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 17(1), pages 59-82, Winter.
  19. Gode, Dhananjay K & Sunder, Shyam, 1997. "What Makes Markets Allocationally Efficient?," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 112(2), pages 603-30, May.
  20. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, Econometric Society, vol. 55(2), pages 251-76, March.
  21. LeRoy, Stephen F, 1984. "Efficiency and the Variability of Asset Prices," American Economic Review, American Economic Association, American Economic Association, vol. 74(2), pages 183-87, May.
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