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Un modelo ARMA vectorial para índices bursátiles

Author

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  • Eduardo Ley

    (Department of Economics, Lorch Hall The University ofMichigan Ann Arbor, Ml48109 EE.UU.)

Abstract

En este trabajo se investiga las relaciones de dependencia que puedan existir entre índices bursátiles en la Bolsa de Madrid durante el 1985. Se escogieron tres índices: Banca, Eléctricas y "Otras". Este último, referido a acciones pertenecientes a sectores distintos del bancario y eléctrico, es una media ponderada de los índices de Alimentación, Construcción, Inversión, Siderometalúrgicas, Químicas, Comunicaciones y Varios, siendo los pesos utilizados los relativos de estos sectores en el cómputo del Indice General. En la Tabla Al se presentan los componentes de estos tres índices con sus respectivas ponderaciones. Las series estudiadas son series diarias con cinco observaciones semanales. Cuando, por motivo de alguna festividad, faltaba alguna observación, se interpoló linealmente en la serie original de índices bursátiles. Las series así completadas se listan en la Tabla A2 del apéndice.

Suggested Citation

  • Eduardo Ley, 1987. "Un modelo ARMA vectorial para índices bursátiles," Documentos de trabajo de la Facultad de Ciencias Económicas y Empresariales 87-06, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
    • Handle: RePEc:ucm:doctra:87-06
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    Keywords

    Indices bursátiles.;

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