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Oligopolio e incertidumbre sobre la demanda: una revisión

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  • Jesús López Rodríguez

    ()

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

Suggested Citation

  • Jesús López Rodríguez, 2002. "Oligopolio e incertidumbre sobre la demanda: una revisión," Estudios de Economia, University of Chile, Department of Economics, vol. 29(2 Year 20), pages 269-297, December.
  • Handle: RePEc:udc:esteco:v:29:y:2002:i:2:p:269-297
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    Keywords

    Demand Uncertainty; Information Exchange Agreements; Price Competition; Quantity Competition.;

    JEL classification:

    • D43 - Microeconomics - - Market Structure, Pricing, and Design - - - Oligopoly and Other Forms of Market Imperfection
    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • L13 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Oligopoly and Other Imperfect Markets

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