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Analisis de la influencia de la actividad real de la economia sobre la volatilidad de la rentabilidad accionaria: un caso en el sector de edificacion en Mexico

Author

Listed:
  • Ricardo Perez

    (Tecnologico de Monterrey)

  • Raul F. Montalvo

    (Tecnologico de Monterrey)

Abstract

La relacion entre la actividad economica y el sistema financiero es un debate que ha estado presente en diferentes teorias que explican el crecimiento economico. En el analisis empirico de esta relacion se han empleado diferentes tecnicas como las pruebas de causalidad, la cointegracion y modelos de volatilidad, cuyas conclusiones no necesariamente pueden extrapolarse a las realidades de diferentes paises y sectores. El proposito de este articulo es analizar por medio de un modelo GARCH, de manera particular, el caso del sector de desarrollo de vivienda en Mexico, analizando la relacion entre el sistema financiero mediante el analisis de la volatilidad en los rendimientos de una empresa representativa de dicho sector y un indicador del desempeno esperado de la economia. Encontrando que existe una relacion inversa entre la actividad economica esperada sobre la varianza de los rendimientos de la accion de la empresa.

Suggested Citation

  • Ricardo Perez & Raul F. Montalvo, 2017. "Analisis de la influencia de la actividad real de la economia sobre la volatilidad de la rentabilidad accionaria: un caso en el sector de edificacion en Mexico," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 14(2), pages 69-84, Julio-Dic.
    • Handle: RePEc:qua:journl:v:14:y:2017:i:2:p:69-84
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    More about this item

    Keywords

    GARCH; crecimiento economico; desarrollo de vivienda;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • L78 - Industrial Organization - - Industry Studies: Primary Products and Construction - - - Government Policy
    • O47 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - Empirical Studies of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence

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