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Riesgo financiero acumulado: el caso de los índices bursátiles de Estados Unidos, 2000-2014

Author

Listed:
  • Hermoza, Julio Cesar Riascos

    (Universidad de Nariño)

Abstract

El documento se propone analizar el fenómeno del riesgo nanciero acumulado para los tres principales mercados bursátiles de Estados Unidos, S&P 500, Nasdaq y Dow Jones durante el periodo comprendido entre febrero 24 de 2000 y febrero 17 de 2014. La metodología empleada se basa en el tratamiento de series temporales a partir de la construcción de modelos GARCH que permitieron explicar los retornos de los mercados subyacentes y sus ecuaciones de varianza a partir de residuales y varianzas rezagadas. El estudio advierte que los retornos de los tres mercados se caracterizaron por ser especialmente afectados por el atentado terrorista al World Trade Center el 11 de septiembre de 2001 y la caída de Lehman Brothers en septiembre 15 de 2008. La investigación concluye advirtiendo que los índices S&P 500 y Nasdaq tienden a estabilizarse mientras que el Dow Jones Industrial se caracteriza por un riesgo nanciero persistente.

Suggested Citation

  • Hermoza, Julio Cesar Riascos, 2014. "Riesgo financiero acumulado: el caso de los índices bursátiles de Estados Unidos, 2000-2014," Revista Tendencias, Universidad de Narino, vol. 15(1), pages 78-108, January.
    • Handle: RePEc:col:000520:018835
    DOI: 10.22267/rtend.141501.51
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    More about this item

    Keywords

    Riesgo Financiero; modelo generalizado de heterocedasticidad condicional autorregresiva;

    JEL classification:

    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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