Comportamiento del IPSA y valor fundamental: un análisis de cointegración 2004-2011

Comportamiento del IPSA y valor fundamental: un análisis de cointegración 2004-2011

This research is focused on the market value of IPSA´s stocks and whether those values are aligned with their fundamentals or not, along the period 2004-2011. For that purpose the article is supported by the models of Blanchard and Watson (1982), Diba and Grossman (1988); the econometrical part of t...

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Main Authors: Jorge Gregoire C, Jorge Ríos C
Format: Article
Language:English
Published: Universidad de Chile 2011-02-01
Series:Estudios de Administración
Online Access:https://estudiosdeadministracion.uchile.cl/index.php/EDA/article/view/56378
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spelling doaj-9364727393e64fd78fff171bf1c3dd1d2020-11-25T03:11:35ZengUniversidad de ChileEstudios de Administración0717-06530719-08162011-02-011827910110.5354/0719-0816.2011.5637856378Comportamiento del IPSA y valor fundamental: un análisis de cointegración 2004-2011Jorge Gregoire CJorge Ríos CThis research is focused on the market value of IPSA´s stocks and whether those values are aligned with their fundamentals or not, along the period 2004-2011. For that purpose the article is supported by the models of Blanchard and Watson (1982), Diba and Grossman (1988); the econometrical part of the paper makes use of the vector cointegration method of Johansen (1988). The results show that market values of IPSA´s stocks cointegrates with earnings per share, IMACEC and S&P500, that is there exists a long run equilibrium relation between IPSA and its fundamentals, and the error correction model also shows that these fundamentals permit the adjustments to the short run deviations from long run equilibrium.https://estudiosdeadministracion.uchile.cl/index.php/EDA/article/view/56378
collection DOAJ
language English
format Article
sources DOAJ
author Jorge Gregoire C
Jorge Ríos C
spellingShingle Jorge Gregoire C
Jorge Ríos C
Comportamiento del IPSA y valor fundamental: un análisis de cointegración 2004-2011
Estudios de Administración
author_facet Jorge Gregoire C
Jorge Ríos C
author_sort Jorge Gregoire C
title Comportamiento del IPSA y valor fundamental: un análisis de cointegración 2004-2011
title_short Comportamiento del IPSA y valor fundamental: un análisis de cointegración 2004-2011
title_full Comportamiento del IPSA y valor fundamental: un análisis de cointegración 2004-2011
title_fullStr Comportamiento del IPSA y valor fundamental: un análisis de cointegración 2004-2011
title_full_unstemmed Comportamiento del IPSA y valor fundamental: un análisis de cointegración 2004-2011
title_sort comportamiento del ipsa y valor fundamental: un análisis de cointegración 2004-2011
publisher Universidad de Chile
series Estudios de Administración
issn 0717-0653
0719-0816
publishDate 2011-02-01
description This research is focused on the market value of IPSA´s stocks and whether those values are aligned with their fundamentals or not, along the period 2004-2011. For that purpose the article is supported by the models of Blanchard and Watson (1982), Diba and Grossman (1988); the econometrical part of the paper makes use of the vector cointegration method of Johansen (1988). The results show that market values of IPSA´s stocks cointegrates with earnings per share, IMACEC and S&P500, that is there exists a long run equilibrium relation between IPSA and its fundamentals, and the error correction model also shows that these fundamentals permit the adjustments to the short run deviations from long run equilibrium.
url https://estudiosdeadministracion.uchile.cl/index.php/EDA/article/view/56378
work_keys_str_mv AT jorgegregoirec comportamientodelipsayvalorfundamentalunanalisisdecointegracion20042011
AT jorgeriosc comportamientodelipsayvalorfundamentalunanalisisdecointegracion20042011
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