Modelo estocástico aplicado al proceso de formación de precios de índices bursátiles de España y Chile

The purpose of this paper is to analyze if general stock market price formation of the indexes in Madrid (IGB) and the general stock price index in Chile (IGPA), follow a stochastic Wiener-Gauss type process. The results suggest that the Wiener-Gauss model provides the basis for weekly price estimations of both indexes, which, from the econometric point of view, are adequate considering closing prices of the indexes IGB and IGPA between 1995 and 2002. In turn, within the horizon under study, Madrid's IGB and Chile's IGPA weekly returns follow a normal distribution. Therefore, both Madrid's and Chile's stock exchanges show an essentially efficient behavior, according to the weak form, in the weekly price formation of these financial assets. The empirical relevance of this work relates to the fact that the Madrid stock exchange is one of the nine largest economic and financial centers in the world, whereas Chile's stock exchange has been one of the most stable among emerging countries during the last 15 years.