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Curvas De Apalancamiento Y Elección De Carteras En La Bmv

Author

Listed:
  • Jorge Ludlow Wiechers

    (Universidad Autónoma Metropolitana-Atzcapotzalco)

  • M. Beatríz Mota Aragón

    (Universidad Autónoma Metropolitana-Iztapalapa)

Abstract

En este trabajo estudiaremos el efecto apalancamiento conocido también como volatilidad asimétrica, el cual se presenta en los mercados de capital y se refiere a la correlación negativa entre los rendimientos pasados y la volatilidad futura de las acciones. Estimaremos la asimetría de la volatilidad con los modelos GARCH asimétrico de Glosten, Jagannathan y Runkle (1993) y el modelo GARCH exponencial (EGARCH) de Nelson (1991). Utilizamos los precios de operación diarios de las 196 acciones que cotizan en la Bolsa Mexicana de Valores , de los cuales seleccionamos una muestra de 62 por su bursatilidad. Finalmente proponemos usar las opciones put como estrategia de administración de riesgo bajo el efecto apalancamiento.

Suggested Citation

  • Jorge Ludlow Wiechers & M. Beatríz Mota Aragón, 2005. "Curvas De Apalancamiento Y Elección De Carteras En La Bmv," 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. 4(4), pages 313-346, Diciembre.
    • Handle: RePEc:imx:journl:v:4:y:2005:i:4:p:313-346
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    More about this item

    Keywords

    Volatilidad asimétrica; Efecto apalancamiento; Modelo GARCH simétrico; Modelo GARCH exponencial;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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