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Relación entre la volatilidad de los rendimientos accionarios del sector desarrollo de vivienda y la actividad económica mexicana/Relationship between the housing development sector stock returns volatility and the Mexican economic activity

Author

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  • Massa Roldán. Ricardo.

    (Programa Interdisciplinario de Regulación y Competencia Económica, CONACYT-CIDE, Ciudad de México, México. EGADE Business School. Tecnológico de Monterrey, Campus Guadalajara, Zapopan, Jalisco, México.)

  • Pérez Navarro, Ricardo

    (Escuela de Negocios y Humanidades, Tecnológico de Monterrey, Campus Guadalajara, Zapopan, Jalisco, México.)

Abstract

El presente trabajo analiza la relación entre la volatilidad de dos empresas representativas del sector desarrollo de vivienda en México (ARA y SARE) y el Indicador Global de la Actividad Económica (IGAE). Esta relación pudiera utilizarse como un índice adelantado del ritmo de la economía real. Se realizó un análisis de cointegración, así como la estimación de un modelo GARCH multivariado que emplea al IGAE como variable explicativa en las ecuaciones de la varianza condicional de cada rendimiento. Nuestros resultados sugieren la existencia de una relación de cointegración entre el IGAE y el precio de la acción de ARA y SARE. De igual manera, se presenta evidencia de una relación inversa entre el cambio en el IGAE y la volatilidad de ambos rendimientos accionarios. Adicionalmente, se observa un efecto asimétrico que posiblemente se explica por los diferentes enfoques de políticas públicas que las administraciones federales han tenido en torno al sector de desarrollo de vivienda en México./This paper analyzes the relationship between the volatility of two companies that are typical of the housing development sector in Mexico (ARA and SARE), and the Global Indicator of Economic Activity (IGAE for its acronym in Spanish). This relationship may be used as a real economy pace early indicator. A cointegration analysis was made, and the estimation of a multivariate GARCH was performed, using IGAE as an explatory variable for the condicional variance equation of each return. The results suggest the existence of a cointegration relationship between the IGAE and stock price of ARA and SARE. Moreover, evidence of an inverse relationship between the IGAE and the volatility of both stock returns is presented. Finally, an asymmetric effect is observed, which could possibly be explained by the different approaches to public policy of the housing developing sector that the federal administration has implemented.

Suggested Citation

  • Massa Roldán. Ricardo. & Pérez Navarro, Ricardo, 2018. "Relación entre la volatilidad de los rendimientos accionarios del sector desarrollo de vivienda y la actividad económica mexicana/Relationship between the housing development sector stock returns vola," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 8(1), pages 5-34, enero-jun.
    • Handle: RePEc:sfr:efruam:v:8:y:2018:i:1:p:5-34
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    More about this item

    Keywords

    GARCH multivariado; mercado accionario; crecimiento económico; desarrollo de vivienda/Multivariate GARCH; stock market; economic growth; housing development;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • 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
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • O47 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - Empirical Studies of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence
    • L78 - Industrial Organization - - Industry Studies: Primary Products and Construction - - - Government Policy

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