Abstract

ACUNA, Andrés  and  PINTO, Cristián. Efficiency of Chilean stock market: A diynamic approach using volatility te. Lect. Econ. [online]. 2009, n.70, pp.39-61. ISSN 0120-2596.

This article studies the Chilean Stock Market's efficiency. To corroborate efficiency, we use a partial equilibrium model for financial asset pricing. We contrast between observed and expected Chilean stock price volatility under an efficient stock market framework. For the statistical analysis, we use monthly data for Chilean Stock Market prices from 1987 to 2007. Performing volatility tests, we find evidence of excess volatility in Chilean stock market prices. We cannot link this stock price excess volatility to the existence of a rational speculative bubble, nor to discount rate's excess volatility.

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

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