IDEAS home Printed from https://ideas.repec.org/a/imx/journl/v3y2004i2p145-168.html
   My bibliography  Save this article

Análisis Del Riesgo Beta En El Mercado Bursátil Español

Author

Listed:
  • Rosa María Cáceres Apolinario

    (ULPGC)

  • Juan García Boza

    (ULPGC)

Abstract

El trabajo realiza un análisis del riesgo beta de distintos activos y carteras en el mercado bursátil español durante el período 1991-2000. Se analiza la estabilidad del coeficiente beta a lo largo del tiempo a través de distintos contrastes fundamentados en los residuos recursivos, se estudia su comportamiento temporal. mediante estimaciones con distintos intervalos temporales, y también se lleva a cabo la predicción de dicho riesgo a través de diversas metodologías. Para ello, se efectúa la estimación del riesgo beta mediante la técnica de Mínimos Cuadrados Generalizados y se utilizan distintos índices bursátiles como proxys de la cartera de mercado.

Suggested Citation

  • Rosa María Cáceres Apolinario & Juan García Boza, 2004. "Análisis Del Riesgo Beta En El Mercado Bursátil Español," 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. 3(2), pages 145-168, Junio 200.
    • Handle: RePEc:imx:journl:v:3:y:2004:i:2:p:145-168
    as

    Download full text from publisher

    File URL: http://www.remef.org.mx/index.php/primera/article/view/167
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Beta; Estabilidad; Comportamiento temporal; Predicción;
    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:imx:journl:v:3:y:2004:i:2:p:145-168. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ricardo Mendoza (email available below). General contact details of provider: https://www.remef.org.mx/index.php/remef/index .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.