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Análisis de la eficiencia del mercado de acciones chileno

Author

Listed:
  • Gutierrez Ponce, Herenia

    (Universidad Autónoma de Madrid (España))

  • Garrido Suazo, Marcelo

    (Universidad de La Frontera (Chile))

Abstract

El objetivo del presente trabajo es medir el grado de eficiencia del mercado bursátil chileno en el período 2001-2018. Se utiliza la metodología de estudio de eventos (event studies) para comprobar la eficiencia en forma semifuerte del mercado de acciones en Chile, por medio de anuncios de adquisiciones y de fusiones realizados por las empresas componentes del Índice de Precios Selectivo de Acciones (IPSA), de la Bolsa de Comercio de Santiago de Chile. Dicha metodología es la apropiada para medir este tipo de eficiencia. Específicamente, se usan datos diarios y se aplica el modelo de mercado como modelo generador de retornos. Los resultados muestran que el mercado de acciones no se comporta de manera eficiente en forma semifuerte en ese período.

Suggested Citation

  • Gutierrez Ponce, Herenia & Garrido Suazo, Marcelo, 2024. "Análisis de la eficiencia del mercado de acciones chileno," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 16(1), pages 17-45, January.
    • Handle: RePEc:col:000443:021245
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    More about this item

    Keywords

    Hipótesis de mercados eficientes; estudio de eventos; Eficiencia de mercados; Mercado financiero; Chile;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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