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Miedo e incertidumbre en las principales acciones del S&P500

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Listed:
  • Fernando José Mariné Osorio

    (Universidad Anahuac, México)

  • José Carlos González Núñez

    (Universidad Anahuac, México)

Abstract

Esta investigación analiza las relaciones existentes entre los rendimientos de las acciones del S&P500 e indicadores de conducta financiera como lo son el Volatility Index (VIX) y el Black Swan Index (SKEW). El método utilizado es el de Ecuaciones Estructurales y Mínimos Cuadrados Parciales (PLS-SEM). Los resultados muestran que el VIX explica más que el SKEW y que los sectores más sensibles al miedo son el Electrónico-Tecnológico, Energético y Salud. Como recomendación se prioriza el uso del VIX por encima del SKEW ya que este tan solo fue estadísticamente significativo en el constructo Electrónico-Tecnológico, al utilizar esta metodología, así también, se limita el análisis sobre un conjunto de 23 compañías, 8 constructos sectoriales y un periodo temporal desde el año 2013 a abril 2022. La originalidad del presente se encuentra en el uso del PLS-SEM para el análisis financiero conductual y la formación de constructos accionarios. Esta metodología permite modelar bajo una óptica exploratoria otro tipo de relaciones y de variables, así como solucionar supuestos estadísticos problemáticos en las finanzas.

Suggested Citation

  • Fernando José Mariné Osorio & José Carlos González Núñez, 2024. "Miedo e incertidumbre en las principales acciones del S&P500," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 19(4), pages 1-23, Octubre -.
    • Handle: RePEc:imx:journl:v:19:y:2024:i:4:a:7
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • O16 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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