Análisis de la eficiencia del mercado de acciones chileno
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 per... Ver más
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Análisis de la eficiencia del mercado de acciones chileno Flannery, M. J., & Protopapadakis, A. A. (2002). Macroeconomic factors do influence aggregate stock returns. The Review of Financial Studies, 15(3), 751-782. https://www.jstor.org/stable/2696720 Kinateder, H., Fabich, M., & Wagner, N. (2017). Domestic mergers and acquisitions in BRICS countries: Acquirers and targets. Emerging Markets Review, 32, 190-199. https://doi.org/10.1016/j.ememar.2017.06.005 Jareño, F. (2009). El impacto de la publicación del IPC sobre el mercado bursátil español. Información Comercial Española, Revista de Economía, 851, 109-120. https://dialnet.unirioja.es/servlet/revista?codigo=677&info=open_link_revista Jackson, L. (2015). Market reaction to bidder announcements of horizontal mergers in an oligopolistic industry: Evidence from the US airline industry. Tourism Economics, 21(6), 1255-1271. https://doi.org/10.5367/te.2014.0401 Hong, H., & Stein, J. C. (2007). Disagreement and the stock market. Journal of Economic Perspectives, 21(2), 109-128. https://doi.org/10.1257/jep.21.2.109 González Araya, M., & Roca Vera, A. (2012). Efecto de cambios de gerentes generales y presidentes de directorio en el valor de la firma para el mercado chileno, periodo 2001-2011. Estudios de Administración, 19(2), 69-112. https://repositorio.uchile.cl/handle/2250/140471 Gomes, L., Soares, V., Gama, S., & Matos, J. (2018). Long-term memory in Euronext stock indexes returns: An econophysics approach. Business and Economic Horizons, 14(4), 862-881. https://doi.org/10.15208/beh.2018.59 George, T. J., & Hwang, C. Y. (2004). The 52‐week high and momentum investing. The Journal of Finance, 59(5), 2145-2176. https://ssrn.com/abstract=1104491 Fuenzalida D., Mongrut, S., Nash, M., & Tapia, J. (2006). Tender offers in South America: Are abnormal returns really high? Estudios Gerenciales, (101), 13-36. http://www.scielo.org.co/scielo.php?script=sci_arttext&pid=S0123-59232006000400001&lng=en&tlng=en. Fama, E., & French, K. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1-22. https://doi.org/10.1016/j.jfineco.2014.10.010 Mamede, S., & Malaquias, R. (2017). Monday effect in Brazilian hedge funds with immediate redemption. Research in International Business and Finance, 39, 47-53. https://doi.org/10.1016/j.ribaf.2016.07.032 Fama, E., & French, K. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56. https://doi.org/10.1016/0304-405x(93)90023-5 Fama, E., Fisher, L., Jensen, M., & Roll, R. (1969). The adjustment of stock prices to new information. International economic review, 10(1), 1-21. https://doi.org/10.2307/2525569 Fama, E. (1991). Efficient Capital Markets: II. Journal of Finance, 46(5), 1575-1617. https://doi.org/10.1111/j.1540-6261.1991.tb04636.x Fama, E. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417. https://doi.org/10.2307/2325486 Del Brío, E., De Miguel, A., & Tobar, J. (2010). Efectos de la regulación bursátil sobre la eficiencia de los mercados de valores. Comparación entre España y Reino Unido. Revista Española de Financiación y Contabilidad, 39(146), 321-348. https://doi.org/10.1080/02102412.2010.10779684 Cready, W., & Hurtt, D. (2002). Assessing investor response to information events using return and volume metrics. The Accounting Review, 77(4), 891-909. https://doi.org/10.2308/accr.2002.77.4.891 Cowan, A. (1992). Nonparametric event study tests. Review of Quantitative Finance and Accounting, 2(4), 343-358. https://doi.org/10.1007/bf00939016 Corrado, C. (1989). A nonparametric test for abnormal security-price performance in event studies. Journal of Financial Economics, 23(2), 385-395. https://doi.org/10.1016/0304-405x(89)90064- Caporale, G., Gil-Alana, L., & Plastun, A. (2018). Short-term Price overreactions: Identification, testing, exploitation. Computational Economics, 51(4), 913-940. https://doi.org/10.2139/ssrn.2526817 MacKinlay, A. (1997). Event studies in economics and finance. Journal of Economic Literature, 35(1), 13-39. http://www.jstor.org/stable/2729691. Mazzoli, M., & Barducci, C. (2009). Testing exchange rate efficiency: The case of euro-dollar. International Review of Applied Economics, 23(4), 521-540. https://doi.org/10.1080/02692170902954817 Campbell, J., Lo, A., & Mackinlay, A. (1997). The econometrics of financial markets. Princeton University Press. https://doi.org/10.1515/9781400830213 Text http://purl.org/coar/access_right/c_abf2 info:eu-repo/semantics/openAccess http://purl.org/coar/version/c_970fb48d4fbd8a85 info:eu-repo/semantics/publishedVersion http://purl.org/redcol/resource_type/ART http://purl.org/coar/resource_type/c_2df8fbb1 http://purl.org/coar/resource_type/c_6501 info:eu-repo/semantics/article Yu, S. (2012). New empirical evidence on the investment success of momentum strategies based on relative stock prices. Review of Quantitative Finance and Accounting, 39(1), 105-121. https://doi.org/10.1007/s11156-011-0242-3 Melo, F., & Fonseca, M. (2015). Política de dividendos no Brasil: uma análise na reação do mercado a anúncios de distribuição de proventos. Revista Contemporânea de Contabilidade, 12(27), 137-164. https://doi.org/10.5007/2175-8069.2015v12n27p137 Young, M., & Bacon, F. (2012). The federal open market committee and the Federal funds rate: A test of market efficiency. Academy of Banking Studies Journal, 11(2), 81-120. Yang, S., Lin, L., Chou, D., & Cheng, H. (2010). Merger drivers and the change of bidder shareholders' wealth. The Service Industries Journal, 30(6), 851-871. https://doi.org/10.1080/02642060801911110 Soares, N., & Stark, A. (2009). The accruals anomaly–can implementable portfolio strategies be developed that are profitable net of transactions costs in the UK? Accounting and Business Research, 39(4), 321-345. https://doi.org/10.1080/00014788.2009.9663371 Sloan, R. G. (1996). Do stock prices fully reflect information in accruals and cash flows about future earnings? Accounting Review, 289-315. https://www.jstor.org/stable/248290 Simões, M., Macedo-Soares, T., Klotzle, M., & Pinto, A. (2012). Assessment of market efficiency in Argentina, Brazil and Chile: An event study of mergers and acquisitions. BAR-Brazilian Administration Review, 9(2), 229-245. https://doi.org/10.1590/s1807-76922012000200007 Sierra, K., Duarte, J., & Rueda, V. (2015). Predictability of returns in the Colombian stock market and the adaptive market hypothesis. Estudios Gerenciales, 31(137), 411-418. https://doi.org/10.1016/j.estger.2015.05.004 Sharpe, W. (1963). A simplified model for portfolio analysis. Management Science, 9(2), 277-293. https://doi.org/10.1287/mnsc.9.3.498 Shah, S. H., Rehman, A., Rashid, T., Karim, J., & Shah, S. (2016). A comparative study of ordinary least squares regression and Theil-Sen regression through simulation in the presence of outliers. Lasbela, U. J. Sci. Technol., V, 137-142. Rose, C., & Søpstad, N. (2015). Reactions to corporate insider’s transactions: Do legal stock market disclosure rules have an impact? European Journal of Law and Economics, 40(2), 247-272. https://doi.org/10.1007/s10657-014-9475-7 Campbell, C., & Wesley, C. (1993). Measuring security price performance using daily NASDAQ returns. Journal of financial economics, 33(1), 73-92. https://doi.org/10.1016/0304-405x(93)90025-7 Boehmer, E., Musumeci, J., & Poulsen, A.B. (1991). Event-study methodology under conditions of event-induced variance. Journal of financial economics, 30, 253-272. https://doi.org/10.1016/0304-405X(91)90032-F Bhagat, D., Malhotra, S., & Zhu, P. (2011). Emerging country cross-border acquisitions: Characteristics, acquirer returns, and cross-sectional determinants. Emerging Markets Review, (12), 250-271. https://doi.org/10.2139/ssrn.1571349 https://revfinypolecon.ucatolica.edu.co/article/view/4866 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. Gutierrez Ponce, Herenia Garrido Suazo, Marcelo Hipótesis de mercados eficientes estudio de eventos eficiencia de mercados. Mercado financiero Chile 16 1 Artículo de revista application/pdf Universidad Católica de Colombia Revista Finanzas y Política Económica text/html Publication Banco Central de Chile (2021). Cuentas Nacionales de Chile. https://www.bcentral.cl/web/banco-central/areas/estadisticas/cuentas-nacionales-anuales Acuña, C., & Álvarez, A. (2017). Dependencia serial de largo plazo en el índice bursátil chileno, a través del coeficiente de Hurst y Hurst ajustado. Journal of Economics, Finance and Administrative Science, 22(42), 37-50. https://doi.org/10.1108/jefas-02-2017-0047 2. Agudelo, D., & Gutiérrez, A. (2011). Anuncios macroeconómicos y mercados accionarios: el caso latinoamericano. Academia. Revista Latinoamericana de Administración, (48), 46-60. https://doi.org/10.2139/ssrn.2407178 Ali, A., Klasa, S., & Li, O. (2008). Institutional stakeholdings and betterinformed traders at earnings announcements. Journal of Accounting and Economics, 46(1), 47-61. https://doi.org/10.1016/j.jacceco.2008.06.001. Alonso, J., & Arcila, A. (2014). Semi-strong efficiency in the International Sugar Market during the period 2001-2011. Cuadernos de Economía, 33(62), 145-161. https://doi.org/10.15446/cuad.econ.v33n62.43670 Améstica, L., Campos, D., & Cornejo, E. (2017). Anuncio de fusiones y adquisiciones y su efecto en los retornos accionarios: Chile, 2010-2014. Cuadernos de Administración, 30(54), 39-64. https://doi.org/10.11144/javeriana.cao30-54.afae Bajo, E. (2010). The information content of abnormal trading volume. Journal of Business Finance and Accounting, 37(7-8), 950-978. https://doi.org/10.1111/j.1468-5957.2010.02197.x Ball, R., & Brown, P. (1968). An empirical evaluation of accounting income numbers. Journal of accounting research, 6(2), 159-178. https://doi.org/10.2307/2490232 Bamber, L., Barron, O., & Stevens, D. (2011). Trading volume around earnings announcements and other financial reports: Theory, research design, empirical evidence, and directions for future research. Contemporary Accounting Research, 28(2), 431-471. https://doi.org/10.1111/j.1911-3846.2010.01061.x Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial-CompartirIgual 4.0. Herenia Gutierrez Ponce, Doctor - 2023 https://creativecommons.org/licenses/by-nc-sa/4.0 Barron, O., Harris, D., & Stanford, M. (2005). Evidence that investors trade on private event-period information around earnings announcements. The Accounting Review, 80(2), 403-421. https://doi.org/10.2308/accr.2005.80.2.403 Español event studies This work aims to measure the efficiency of Chilean stock market. The methodology utilized is the event studies in order to check the semi-strong efficiency of the stock market, through fusions and/or acquisitions advertisement of IPSA (Selective Stock Price Index) listed companies. This methodology is considered appropriate to measure this efficiency type. The results show that the abnormal returns are not statically significant, so, it is possible to conclude that, in this period, stock market don’t behave in efficient way in semi-strong form. Efficient market hypothesis Chile efficient market Financial Markets Journal article Analysis of the efficiency of chilean stock market 10.14718/revfinanzpolitecon.v16.n1.2024.2 https://revfinypolecon.ucatolica.edu.co/article/download/4866/5037 https://revfinypolecon.ucatolica.edu.co/article/download/4866/4972 45 17 2024-01-31T00:00:00Z 2024-01-31T00:00:00Z 2024-01-31 2248-6046 2011-7663 https://doi.org/10.14718/revfinanzpolitecon.v16.n1.2024.2 |
| institution |
UNIVERSIDAD CATÓLICA DE COLOMBIA |
| thumbnail |
https://nuevo.metarevistas.org/UNIVERSIDADCATOLICADECOLOMBIA/logo.png |
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Colombia |
| collection |
Revista Finanzas y Política Económica |
| title |
Análisis de la eficiencia del mercado de acciones chileno |
| spellingShingle |
Análisis de la eficiencia del mercado de acciones chileno Gutierrez Ponce, Herenia Garrido Suazo, Marcelo Hipótesis de mercados eficientes estudio de eventos eficiencia de mercados. Mercado financiero Chile event studies Efficient market hypothesis Chile efficient market Financial Markets |
| title_short |
Análisis de la eficiencia del mercado de acciones chileno |
| title_full |
Análisis de la eficiencia del mercado de acciones chileno |
| title_fullStr |
Análisis de la eficiencia del mercado de acciones chileno |
| title_full_unstemmed |
Análisis de la eficiencia del mercado de acciones chileno |
| title_sort |
análisis de la eficiencia del mercado de acciones chileno |
| title_eng |
Analysis of the efficiency of chilean stock market |
| description |
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.
|
| description_eng |
This work aims to measure the efficiency of Chilean stock market. The methodology utilized is the event studies in order to check the semi-strong efficiency of the stock market, through fusions and/or acquisitions advertisement of IPSA (Selective Stock Price Index) listed companies. This methodology is considered appropriate to measure this efficiency type. The results show that the abnormal returns are not statically significant, so, it is possible to conclude that, in this period, stock market don’t behave in efficient way in semi-strong form.
|
| author |
Gutierrez Ponce, Herenia Garrido Suazo, Marcelo |
| author_facet |
Gutierrez Ponce, Herenia Garrido Suazo, Marcelo |
| topicspa_str_mv |
Hipótesis de mercados eficientes estudio de eventos eficiencia de mercados. Mercado financiero Chile |
| topic |
Hipótesis de mercados eficientes estudio de eventos eficiencia de mercados. Mercado financiero Chile event studies Efficient market hypothesis Chile efficient market Financial Markets |
| topic_facet |
Hipótesis de mercados eficientes estudio de eventos eficiencia de mercados. Mercado financiero Chile event studies Efficient market hypothesis Chile efficient market Financial Markets |
| citationvolume |
16 |
| citationissue |
1 |
| publisher |
Universidad Católica de Colombia |
| ispartofjournal |
Revista Finanzas y Política Económica |
| source |
https://revfinypolecon.ucatolica.edu.co/article/view/4866 |
| language |
Español |
| format |
Article |
| rights |
http://purl.org/coar/access_right/c_abf2 info:eu-repo/semantics/openAccess Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial-CompartirIgual 4.0. Herenia Gutierrez Ponce, Doctor - 2023 https://creativecommons.org/licenses/by-nc-sa/4.0 |
| references |
Flannery, M. J., & Protopapadakis, A. A. (2002). Macroeconomic factors do influence aggregate stock returns. The Review of Financial Studies, 15(3), 751-782. https://www.jstor.org/stable/2696720 Kinateder, H., Fabich, M., & Wagner, N. (2017). Domestic mergers and acquisitions in BRICS countries: Acquirers and targets. Emerging Markets Review, 32, 190-199. https://doi.org/10.1016/j.ememar.2017.06.005 Jareño, F. (2009). El impacto de la publicación del IPC sobre el mercado bursátil español. Información Comercial Española, Revista de Economía, 851, 109-120. https://dialnet.unirioja.es/servlet/revista?codigo=677&info=open_link_revista Jackson, L. (2015). Market reaction to bidder announcements of horizontal mergers in an oligopolistic industry: Evidence from the US airline industry. Tourism Economics, 21(6), 1255-1271. https://doi.org/10.5367/te.2014.0401 Hong, H., & Stein, J. C. (2007). Disagreement and the stock market. Journal of Economic Perspectives, 21(2), 109-128. https://doi.org/10.1257/jep.21.2.109 González Araya, M., & Roca Vera, A. (2012). Efecto de cambios de gerentes generales y presidentes de directorio en el valor de la firma para el mercado chileno, periodo 2001-2011. Estudios de Administración, 19(2), 69-112. https://repositorio.uchile.cl/handle/2250/140471 Gomes, L., Soares, V., Gama, S., & Matos, J. (2018). Long-term memory in Euronext stock indexes returns: An econophysics approach. Business and Economic Horizons, 14(4), 862-881. https://doi.org/10.15208/beh.2018.59 George, T. J., & Hwang, C. Y. (2004). The 52‐week high and momentum investing. The Journal of Finance, 59(5), 2145-2176. https://ssrn.com/abstract=1104491 Fuenzalida D., Mongrut, S., Nash, M., & Tapia, J. (2006). Tender offers in South America: Are abnormal returns really high? Estudios Gerenciales, (101), 13-36. http://www.scielo.org.co/scielo.php?script=sci_arttext&pid=S0123-59232006000400001&lng=en&tlng=en. Fama, E., & French, K. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1-22. https://doi.org/10.1016/j.jfineco.2014.10.010 Mamede, S., & Malaquias, R. (2017). Monday effect in Brazilian hedge funds with immediate redemption. Research in International Business and Finance, 39, 47-53. https://doi.org/10.1016/j.ribaf.2016.07.032 Fama, E., & French, K. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56. https://doi.org/10.1016/0304-405x(93)90023-5 Fama, E., Fisher, L., Jensen, M., & Roll, R. (1969). The adjustment of stock prices to new information. International economic review, 10(1), 1-21. https://doi.org/10.2307/2525569 Fama, E. (1991). Efficient Capital Markets: II. Journal of Finance, 46(5), 1575-1617. https://doi.org/10.1111/j.1540-6261.1991.tb04636.x Fama, E. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417. https://doi.org/10.2307/2325486 Del Brío, E., De Miguel, A., & Tobar, J. (2010). Efectos de la regulación bursátil sobre la eficiencia de los mercados de valores. Comparación entre España y Reino Unido. Revista Española de Financiación y Contabilidad, 39(146), 321-348. https://doi.org/10.1080/02102412.2010.10779684 Cready, W., & Hurtt, D. (2002). Assessing investor response to information events using return and volume metrics. The Accounting Review, 77(4), 891-909. https://doi.org/10.2308/accr.2002.77.4.891 Cowan, A. (1992). Nonparametric event study tests. Review of Quantitative Finance and Accounting, 2(4), 343-358. https://doi.org/10.1007/bf00939016 Corrado, C. (1989). A nonparametric test for abnormal security-price performance in event studies. Journal of Financial Economics, 23(2), 385-395. https://doi.org/10.1016/0304-405x(89)90064- Caporale, G., Gil-Alana, L., & Plastun, A. (2018). Short-term Price overreactions: Identification, testing, exploitation. Computational Economics, 51(4), 913-940. https://doi.org/10.2139/ssrn.2526817 MacKinlay, A. (1997). Event studies in economics and finance. Journal of Economic Literature, 35(1), 13-39. http://www.jstor.org/stable/2729691. Mazzoli, M., & Barducci, C. (2009). Testing exchange rate efficiency: The case of euro-dollar. International Review of Applied Economics, 23(4), 521-540. https://doi.org/10.1080/02692170902954817 Campbell, J., Lo, A., & Mackinlay, A. (1997). The econometrics of financial markets. Princeton University Press. https://doi.org/10.1515/9781400830213 Yu, S. (2012). New empirical evidence on the investment success of momentum strategies based on relative stock prices. Review of Quantitative Finance and Accounting, 39(1), 105-121. https://doi.org/10.1007/s11156-011-0242-3 Melo, F., & Fonseca, M. (2015). Política de dividendos no Brasil: uma análise na reação do mercado a anúncios de distribuição de proventos. Revista Contemporânea de Contabilidade, 12(27), 137-164. https://doi.org/10.5007/2175-8069.2015v12n27p137 Young, M., & Bacon, F. (2012). The federal open market committee and the Federal funds rate: A test of market efficiency. Academy of Banking Studies Journal, 11(2), 81-120. Yang, S., Lin, L., Chou, D., & Cheng, H. (2010). Merger drivers and the change of bidder shareholders' wealth. The Service Industries Journal, 30(6), 851-871. https://doi.org/10.1080/02642060801911110 Soares, N., & Stark, A. (2009). The accruals anomaly–can implementable portfolio strategies be developed that are profitable net of transactions costs in the UK? Accounting and Business Research, 39(4), 321-345. https://doi.org/10.1080/00014788.2009.9663371 Sloan, R. G. (1996). Do stock prices fully reflect information in accruals and cash flows about future earnings? Accounting Review, 289-315. https://www.jstor.org/stable/248290 Simões, M., Macedo-Soares, T., Klotzle, M., & Pinto, A. (2012). Assessment of market efficiency in Argentina, Brazil and Chile: An event study of mergers and acquisitions. BAR-Brazilian Administration Review, 9(2), 229-245. https://doi.org/10.1590/s1807-76922012000200007 Sierra, K., Duarte, J., & Rueda, V. (2015). Predictability of returns in the Colombian stock market and the adaptive market hypothesis. Estudios Gerenciales, 31(137), 411-418. https://doi.org/10.1016/j.estger.2015.05.004 Sharpe, W. (1963). A simplified model for portfolio analysis. Management Science, 9(2), 277-293. https://doi.org/10.1287/mnsc.9.3.498 Shah, S. H., Rehman, A., Rashid, T., Karim, J., & Shah, S. (2016). A comparative study of ordinary least squares regression and Theil-Sen regression through simulation in the presence of outliers. Lasbela, U. J. Sci. Technol., V, 137-142. Rose, C., & Søpstad, N. (2015). Reactions to corporate insider’s transactions: Do legal stock market disclosure rules have an impact? European Journal of Law and Economics, 40(2), 247-272. https://doi.org/10.1007/s10657-014-9475-7 Campbell, C., & Wesley, C. (1993). Measuring security price performance using daily NASDAQ returns. Journal of financial economics, 33(1), 73-92. https://doi.org/10.1016/0304-405x(93)90025-7 Boehmer, E., Musumeci, J., & Poulsen, A.B. (1991). Event-study methodology under conditions of event-induced variance. Journal of financial economics, 30, 253-272. https://doi.org/10.1016/0304-405X(91)90032-F Bhagat, D., Malhotra, S., & Zhu, P. (2011). Emerging country cross-border acquisitions: Characteristics, acquirer returns, and cross-sectional determinants. Emerging Markets Review, (12), 250-271. https://doi.org/10.2139/ssrn.1571349 Banco Central de Chile (2021). Cuentas Nacionales de Chile. https://www.bcentral.cl/web/banco-central/areas/estadisticas/cuentas-nacionales-anuales Acuña, C., & Álvarez, A. (2017). Dependencia serial de largo plazo en el índice bursátil chileno, a través del coeficiente de Hurst y Hurst ajustado. Journal of Economics, Finance and Administrative Science, 22(42), 37-50. https://doi.org/10.1108/jefas-02-2017-0047 2. Agudelo, D., & Gutiérrez, A. (2011). Anuncios macroeconómicos y mercados accionarios: el caso latinoamericano. Academia. Revista Latinoamericana de Administración, (48), 46-60. https://doi.org/10.2139/ssrn.2407178 Ali, A., Klasa, S., & Li, O. (2008). Institutional stakeholdings and betterinformed traders at earnings announcements. Journal of Accounting and Economics, 46(1), 47-61. https://doi.org/10.1016/j.jacceco.2008.06.001. Alonso, J., & Arcila, A. (2014). Semi-strong efficiency in the International Sugar Market during the period 2001-2011. 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