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Cointegración entre R2 y Volatilidad para acciones de la Bolsa Mexicana de Valores / Cointegration between R2 and Volatility in the Mexican Stock Exchange Stock Prices

Author

Listed:
  • Santillan Salgado, Roberto Joaquín

    (EGADE Business School)

  • Fonseca Ramírez, Alejandro

    (EGADE Business School)

Abstract

Cuando se enfrentan a un ambiente de incertidumbre, los inversionistas se comportan de acuerdo con lo que podría describirse como conducta “de rebaño”, la cual resulta en una mínima selectividad en sus decisiones de compra-venta de títulos bursátiles. Santillán-Salgado (2011) encontró evidencia de una tendencia a la reducción del coeficiente de determinación (R2) en las regresiones de MCO del Modelo del Mercado en el largo plazo para una muestra de acciones y el Índice de Precios y Cotizaciones (IPC) de la Bolsa Mexicana de Valores (BMV), con observaciones diarias para el periodo 2000-2010. Sin embargo, aun cuando el R2 disminuyó durante los primeros seis años del periodo, aumentó nuevamente durante los siguientes cuatro. La explicación presentada por ese autor fue que, como resultado de la mayor estabilidad macroeconómica y la modernización de la regulación del mercado, la eficiencia informacional de la BMV había mejorado en el tiempo, lo cual explicaba la tendencia a la baja observada durante los primeros seis años del análisis pero, durante la última parte del decenio la inflexión de la tendencia debía ser explicada por la conducta de “rebaño” resultante de la extraordinaria turbulencia del mercado ocasionada por la Crisis Financiera de 2007-2009. Este trabajo introduce una prueba más rigurosa de la explicación anterior, e incorpora la utilización de otras pruebas para detectar rupturas estructurales y análisis de cointegración, al tiempo que amplía la base de datos sobre la cual se apoya el análisis empírico. La nueva base de datos incluye todas las series de precios de las acciones cotizadas en la Bolsa Mexicana de Valores que cumplieron cierto criterio de selección para el periodo de abril de 1992 a marzo de 2011, resultando en 86 series útiles. La hipótesis central fue que, en presencia de volatilidad intensa en el mercado, existe una tendencia de la R2 del Modelo del Mercado a aumentar, pero cuando la calma regresa al mercado, los inversionistas se comportan de manera selectiva (y la R2 regresa a su tendencia a la baja de largo plazo) / When faced with market uncertainty, investor’s buy and sell decisions tend to follow a ‘herd’ behavior which results in a minimal selectivity of the securities they include in their portfolio. Santillán-Salgado (2011) found evidence that there was a long-run reduction of the Coefficient of Determination (R2) of Market Model’s OLS regressions for a sample of stocks traded at the Mexican Stock Exchange (MSE), using daily observations for the period 2000-2010. However, while the R2 moved downwards during the first six years of the period, it rose again during the last four. In an attempt to explain that seeming inconsistency, the author argued that, as a result of improved macroeconomic stability and the modernization of market regulation, the MSE’s informational efficiency improved over time, explaining the downward trend observed during the first six years of the period of analysis but, during the last years of the decade the inflection of the trend could be explained by the “herd” behavior resulting from the extraordinary market turbulence generated by the 2007-2009 financial crisis. This work introduces a more rigorous test of the previous explanation, incorporating the use of structural breaks detection and cointegration analysis, and expands the database that supports the empirical analysis. The new database included all the MSE stock’s price series that met a selection criteria for the period from 1992 to 2011, resulting in a sample of 86 useful series. The central hypothesis was that, in the presence of intense market volatility, there is a tendency for the R2 of the Market Model to increase but, when calm returns to the market, investors behave again in a more selective way (and R2 goes back to its long-term downward trend)

Suggested Citation

  • Santillan Salgado, Roberto Joaquín & Fonseca Ramírez, Alejandro, 2013. "Cointegración entre R2 y Volatilidad para acciones de la Bolsa Mexicana de Valores / Cointegration between R2 and Volatility in the Mexican Stock Exchange Stock Prices," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 3(2), pages 119-144, julio-dic.
  • Handle: RePEc:sfr:efruam:v:3:y:2013:i:2:p:119-144
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    More about this item

    Keywords

    Eficiencia de mercados; Periodos de volatilidad; El modelo del mercado / Market Efficiency; Volatility Periods; The Market Model;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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