In our study of the two leading stock exchanges in Chile - the Santiago Stock Exchange (SSE) and the Electronic Stock Exchange (ESE) - we find that the SSE exhibits a leadership role over the ESE in terms of transmission of returns and volatility. These results indicate that prior empirical...

This article examines different one-factor models of the short-term nominal interest rate in Chile, concluding that the models best describing this behavior are those that allow the rate volatility not to be constant, a conclusion similarly reached by CKL

The paper studies the effect of bond rating upgrades (downgrades) on stock prices in Chile which, based on the international evidence is expected to be positive (negative). However, no effect is observed, even when the sample is analyzed according to the type of agency that announced the rating...

This paper examines the most frequently used models of conditional variance in the estimation of stock returns and portfolios. The models are analyzed by various tests in order to measure their capabilities to explain variance. At the same time, the tests

The present paper analyzes the impact of Chilean ADR issues o­n the price and variance of their underlying securities. The results indicate that the impact of the international issue o­n the dual listed securities is similar to that suggested in the finan

The goal of this paper is to examine two empirical issues regarding stock liquidity: (1) to what degree are different liquidity proxies correlated? and (2) how are different liquidity proxies related to stocks' trading characteristics? Answers to these questions will help us better understand...