IDEAS home Printed from https://ideas.repec.org/a/pab/rmcpee/v32y2021i1p66-82.html
   My bibliography  Save this article

Relevancia del patrón de persistencia de Hurst en la gestión de portafolios de renta variable|| Relevance of Hurst's pattern in equity portfolio management

Author

Listed:
  • Martínez Patiño, Manuel Andrés

    (Universidad de la Salle (Bogotá, Colombia))

  • Ariza Garzón, Miller Janny

    (Universidad Piloto de Colombia (Bogotá, Colombia))

  • Cadena Lozano, Javier Bernardo

    (Colegio de Estudios Superiores de Administración (Bogotá, Colombia))

Abstract

En este artículo se analiza el comportamiento de los retornos de algunos activos del MILA (Mercado Integrado Latinoamericano), con el objetivo de buscar evidencia de persistencia y evaluar el impacto de su presencia en la toma de decisiones de carteras de inversión. Se usó la metodología del rango reescalado en la estimación del coeficiente de Hurst como una medida de la persistencia y se comprueban los resultados con el ajuste de Anis y Lloyd y la estimación de Higuchi. Se incluye un proceso inferencial sobre el coeficiente de Hurst para cada uno de los activos analizados. Comparamos el desempeño de optimizar portafolios incluyendo estimaciones de persistencia y los resultados de su inferencia con portafolios gestionados bajo independencia. Se observa una mejor relación de riesgo-rendimiento al incluir el patrón de persistencia, solo cuando la inferencia así lo evidencia.|| In this article, the behavior of the returns of some assets of MILA is analyzed, with the objective of looking for evidence of persistence and evaluating the impact of their presence in the decision making of investment portfolios. The methodology of the rescaled range is used in the estimation of the Hurst coefficient as a measure of persistence and the results are verified with the adjustment of Anis and Lloyd and the estimation of Higuchi. An inferential process is added to the Hurst coefficient for each of the assets analyzed. The performance of portfolio optimization including estimates of persistence and the results of its inference were compared with independently optimized portfolios. A better risk-return relationship is observed by including the pattern of persistence, only when the inference is supported by evidence.

Suggested Citation

  • Martínez Patiño, Manuel Andrés & Ariza Garzón, Miller Janny & Cadena Lozano, Javier Bernardo, 2021. "Relevancia del patrón de persistencia de Hurst en la gestión de portafolios de renta variable|| Relevance of Hurst's pattern in equity portfolio management," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 32(1), pages 66-82, December.
    • Handle: RePEc:pab:rmcpee:v:32:y:2021:i:1:p:66-82
    DOI: https://doi.org/10.46661/revmetodoscuanteconempresa.4122
    as

    Download full text from publisher

    File URL: https://www.upo.es/revistas/index.php/RevMetCuant/article/view/4122/5251
    Download Restriction: no
    File URL: https://www.upo.es/revistas/index.php/RevMetCuant/article/view/4122
    Download Restriction: no
    File URL: https://libkey.io/https://doi.org/10.46661/revmetodoscuanteconempresa.4122?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Cajueiro, Daniel O. & Tabak, Benjamin M., 2008. "Testing for long-range dependence in world stock markets," Chaos, Solitons & Fractals, Elsevier, vol. 37(3), pages 918-927.
    2. Hengyun Ma & Les Oxley & John Gibson, 2008. "Testing for Energy Market Integration in China," Working Papers in Economics 08/12, University of Canterbury, Department of Economics and Finance.
    3. Lo, Andrew W, 1991. "Long-Term Memory in Stock Market Prices," Econometrica, Econometric Society, vol. 59(5), pages 1279-1313, September.
    4. Kristoufek, Ladislav & Vosvrda, Miloslav, 2013. "Measuring capital market efficiency: Global and local correlations structure," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(1), pages 184-193.
    5. Cajueiro, Daniel O. & Tabak, Benjamin M., 2007. "Long-range dependence and multifractality in the term structure of LIBOR interest rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 373(C), pages 603-614.
    6. Jordi Gual, 2008. "Integrating Regulated Networks Markets in Europe," Springer Books, in: George Gelauff & Isabel Grilo & Arjan Lejour (ed.), Subsidiarity and Economic Reform in Europe, chapter 10, pages 157-175, Springer.
    7. Pflüger, Michael & Südekum, Jens, 2008. "Integration, agglomeration and welfare," Journal of Urban Economics, Elsevier, vol. 63(2), pages 544-566, March.
    8. Myron T. Greene & Bruce D. Fielitz, 1980. "Long-Term Dependence and Least Squares Regression in Investment Analysis," Management Science, INFORMS, vol. 26(10), pages 1031-1038, October.
    9. Paul J. J. Welfens, 2008. "Digital Integration, Growth and Rational Regulation," Springer Books, Springer, number 978-3-540-74595-2, January.
    10. Benoit B. Mandelbrot, 1972. "Statistical Methodology for Nonperiodic Cycles: From the Covariance To R/S Analysis," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 1, number 3, pages 259-290, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Benjamin Rainer Auer, 2018. "Are standard asset pricing factors long-range dependent?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(1), pages 66-88, January.
    2. Sensoy, Ahmet & Tabak, Benjamin M., 2015. "Time-varying long term memory in the European Union stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 147-158.
    3. Zhang, Wei-Guo & Li, Zhe & Liu, Yong-Jun, 2018. "Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 402-418.
    4. Nadiezhda de la Uz, 2002. "La hipótesis de martingala en el mercado bursátil mexicano," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 17(1), pages 91-127.
    5. Erhard Reschenhofer & Manveer K. Mangat, 2021. "Fast computation and practical use of amplitudes at non-Fourier frequencies," Computational Statistics, Springer, vol. 36(3), pages 1755-1773, September.
    6. Barkoulas, John T. & Baum, Christopher F., 1996. "Long-term dependence in stock returns," Economics Letters, Elsevier, vol. 53(3), pages 253-259, December.
    7. Gil-Alana, L.A., 2006. "Fractional integration in daily stock market indexes," Review of Financial Economics, Elsevier, vol. 15(1), pages 28-48.
    8. Zhuang, Xiaoyang & Wei, Yu & Ma, Feng, 2015. "Multifractality, efficiency analysis of Chinese stock market and its cross-correlation with WTI crude oil price," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 430(C), pages 101-113.
    9. Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2017. "Long Memory and Data Frequency in Financial Markets," CESifo Working Paper Series 6396, CESifo.
    10. Wang, Yudong & Wu, Chongfeng & Wei, Yu, 2011. "Can GARCH-class models capture long memory in WTI crude oil markets?," Economic Modelling, Elsevier, vol. 28(3), pages 921-927, May.
    11. Mensi, Walid & Hammoudeh, Shawkat & Yoon, Seong-Min, 2014. "Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters: The importance of scheduled and unscheduled news announcements," International Review of Economics & Finance, Elsevier, vol. 30(C), pages 101-119.
    12. Paul Eitelman & Justin Vitanza, 2008. "A non-random walk revisited: short- and long-term memory in asset prices," International Finance Discussion Papers 956, Board of Governors of the Federal Reserve System (U.S.).
    13. Sensoy, Ahmet & Hacihasanoglu, Erk, 2014. "Time-varying long range dependence in energy futures markets," Energy Economics, Elsevier, vol. 46(C), pages 318-327.
    14. Gerlich, Nikolas & Rostek, Stefan, 2015. "Estimating serial correlation and self-similarity in financial time series—A diversification approach with applications to high frequency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 434(C), pages 84-98.
    15. Vasile Brătian & Ana-Maria Acu & Camelia Oprean-Stan & Emil Dinga & Gabriela-Mariana Ionescu, 2021. "Efficient or Fractal Market Hypothesis? A Stock Indexes Modelling Using Geometric Brownian Motion and Geometric Fractional Brownian Motion," Mathematics, MDPI, vol. 9(22), pages 1-20, November.
    16. Sensoy, Ahmet & Tabak, Benjamin M., 2016. "Dynamic efficiency of stock markets and exchange rates," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 353-371.
    17. Bhandari, Avishek, 2020. "Long Memory and Correlation Structures of Select Stock Returns Using Novel Wavelet and Fractal Connectivity Networks," MPRA Paper 101946, University Library of Munich, Germany.
    18. Carlos D. Ramirez, 2024. "The effect of economic policy uncertainty under fractional integration," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 23(1), pages 89-110, January.
    19. Jebabli, Ikram & Roubaud, David, 2018. "Time-varying efficiency in food and energy markets: Evidence and implications," Economic Modelling, Elsevier, vol. 70(C), pages 97-114.
    20. Serletis, Apostolos & Rosenberg, Aryeh Adam, 2009. "Mean reversion in the US stock market," Chaos, Solitons & Fractals, Elsevier, vol. 40(4), pages 2007-2015.

    More about this item

    Keywords

    persistencia; dependencia a largo plazo; rango reescalado; optimización de portafolios; coeficiente de Hurst; persistence; long term dependency; rescaled rank; portfolio optimization; Hurst estimation;
    All these keywords.

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    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:pab:rmcpee:v:32:y:2021:i:1:p:66-82. 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.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Publicación Digital - UPO (email available below). General contact details of provider: https://edirc.repec.org/data/dmupoes.html .

    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.