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Un árbol de expansión mínima en la Bolsa Mexicana de Valores

Author

Listed:
  • Linda Margarita Medina Herrera

    (Tecnológico de Monterrey)

  • Ricardo Mansilla Corona

    (Universidad Nacional Autónoma de México)

Abstract

This paper exhibits the economic taxonomy of a minimal spanning tree constructed from the correlation matrix of daily returns of 65 stocks traded at the Bolsa Mexicana de Valores during an eight-year trading period. This paper also makes a classification of the risk and returns of these stocks depending on their distances in the tree to the central vertex (mass center)

Suggested Citation

  • Linda Margarita Medina Herrera & Ricardo Mansilla Corona, 2007. "Un árbol de expansión mínima en la Bolsa Mexicana de Valores," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 1(2), pages 116-124.
    • Handle: RePEc:ega:rafega:200708
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    File URL: http://alejandria.ccm.itesm.mx/egap/documentos/2007V1A8Medina.pdf
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    More about this item

    Keywords

    árbol de expansión mínima; matrices de correlación; análisis de portafolios;
    All these keywords.

    JEL classification:

    • C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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