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

  • Pablo Marshall
  • Eduardo Walker

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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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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