Resumen
This article studies the serial dependence and the speed of adjustment to new
information of weekly portfolios returns of stocks traded in the Santiago de
Chile stock exchange. Portfolios grouped by size and traded volume during the
period 1991-2000 are considered. With the purpose of detecting the predictive
power of the lagged returns of certain groups of stocks on others, the study
analyzes autocorrelations, crossed-serial correlations, Dimson regressions and
vector autoregressions.
The evidence indicates that weekly returns are significantly autocorrelated, with
a significant crossed-serial effect as well: a 1 percent shock in the returns of the
most traded and large (prime) stocks predicts a significant cumulative return
between 0,4 and 0,5 percent in the other stocks. There is also evidence of a
separate liquidity effect and, in a smaller magnitude, of a size effect, which
imply the existence of cross-serial correlation. Above all, however, the joint
effect prevails. This evidence supports the hypothesis of a delayed reaction to
information of the smaller and less liquid stocks. Given the order of magnitude,
the effect could be exploitable.