In this study we re-examine the presence of random walk in stock prices in Brazil and Mexico. We employ variance ratio tests on weekly stock returns for indexes as well as individual firms. The results reveal mean aversion in Mexico at both the index and firm level. In contrast, the Brazil...

This paper examines volatility transfers between size-based stock indexes from the Tokyo Stock Exchange. We use a bivariate EGARCH model to test for volatility spillover effects between large- and small-cap stock indexes. We find an asymmetric volatility spillover from large-cap stock returns to...

Este trabajo es parte de un seminario realizado en el segundo semestre de 1972, sobre las experiencias de diversas empresas chilenas de participación, con el objetivo de confrontar con la realidad los estudios hechos en un curso anterior a nivel teórico sobre el sistema de autogestión. Como...