Arturo Lorenzo-Valdes | UPAEP - Universidad Popular Autónoma del Estado de Puebla (original) (raw)

Papers by Arturo Lorenzo-Valdes

Research paper thumbnail of Empirical evidence of the monetary approach to the exchange rate determinants under a fully flexible regime: the case of Mexico

International Journal of Monetary Economics and Finance

Research paper thumbnail of Valuation of Latin-American stock prices with alternative versions of the Ohlson model: An investigation of cointegration relationships with time-series and panel-data

We develop an investigation regarding the determinants of the stock prices in six Latin American ... more We develop an investigation regarding the determinants of the stock prices in six Latin American emerging markets (Argentina, Brazil, Chile, Colombia, Mexico and Peru). We test the traditional Ohlson model and an international version of it. The international model includes the Dow Jones index as an additional explanatory variable. We use time-series and panel-data cointegration methodologies to assess the long-run relationships among the variables postulated by both models. We use quarterly data for the period 2000:01-2010:03. The results suggest that panel-data techniques may be better than time-series ones for the assessments. They support the use of the Ohlson models and, specially, the international one. The variables are significant and have the postulated signs. These results hold when the firms are considered as a whole and for the commercial and construction firms. Furthermore, the results also suggest that the Latin American asset prices are complementary to the US ones in...

Research paper thumbnail of Relevance of Discretionary Accruals Information (DAI) in Ohlson Model: The Case of Mexico

This study applied the modified Jonesmodel (1991) for selected companies of Mexico. This model ai... more This study applied the modified Jonesmodel (1991) for selected companies of Mexico. This model aims to assess the impact of Discretionary Accrual Information (DAI) on financial reporting statements, in order to identify the value relevance of "earnings quality". We applied methodological criteria of Chung et al (2005) and Mukit & Iskandar (2009). We analyzed financial information of the 35 stock included in the Index of Prices and Quotations (IPC) of the Mexican Stock Exchange (BMV) for the period 2000 to 2011. 19 companies met the specifications of the model, for 48 quarters of information. The analysis was done in three parts: first, an analysis of the modified Jonesmodel under panel data considerations by using fixed effects and adjustments of performing autocorrelation of order 1; second, a correlation analysis between the residuals of the modified Jones´ model and the return of stock price in 3 annual closings years of study: 2007, 2008 and 2009; and third, we incorpo...

Research paper thumbnail of Conditional Probability of Jumps in Oil Prices

The objective of this research is to model the behavior of oil returns. The volatility of oil ret... more The objective of this research is to model the behavior of oil returns. The volatility of oil returns is described through a TGARCH process. Conditional probability jumps are incorporated through uniform, double exponential and normal jump intensity distributions. We found that the volatility of oil returns follows the stylized facts of leptokurtosis, leverage effect and volatility clustering. The abnormal information that causes the jumps, can cause another type of unexpected changes in the following period and the intensity of the jumps has a negative effect on the probability of jumps in the next period. The dynamic model proposed can be extended to other markets and to multivariate time series modeling considering the dependence among the markets’ returns. The main contribution of this work is the estimation of the conditional probability of jumps depending on the previous behavior leading to a better description of the stochastic dynamics of crude oil prices. This will be usefu...

Research paper thumbnail of Influencia macroeconómica y contable en los rendimientos accionarios en México

En este estudio se presenta una revision de la literatura de modelos factoriales, donde se integr... more En este estudio se presenta una revision de la literatura de modelos factoriales, donde se integran variables macroeconomicas y contable-financieras en la determinacion del rendimiento de las acciones de la Bolsa Mexicana de Valores. Se construye un modelo con tecnicas de analisis de datos de panel, encontrando que las variables macroeconomicas son relevantes, no asi las contable-financieras. / In this study, we presented factorial model review by incorporating macroeconomic and accounting-financial variables, in order to identify the value relevance of them on the return of the Mexican Stock Market. We used a model under the panel data considerations and we found that only the macroeconomic variables were significant, but not the accounting-financial variables.

Research paper thumbnail of Distribución De Los Rendimientos Del Mercado Mexicano Accionario

Estudios De Economia, 2006

We show an empirical study to compare the Normal, t-Student and the Normal Inverse Gaussian (NIG)... more We show an empirical study to compare the Normal, t-Student and the Normal Inverse Gaussian (NIG) distributions. This is made for the Mexican stock market returns. The parameters of the NIG and t-Student distributions are estimated by maximum likelihood. The rejection of normality is contundent using the omnibus test. The results are very clear: the adjustment of the NIG distribution is better than the adjustment for the Normal distribution. At the same time we used de Kolmogorov-Smirnov test to compare t-Student and NIG distributions.

Research paper thumbnail of Relevance of Discretionary Accruals in Ohlson Model: the Case of Mexico

Journal of Entrepreneurship, Management and Innovation, 2012

This study applied the modified Jones´ model (1991) for selected companies of Mexico. This model ... more This study applied the modified Jones´ model (1991) for selected companies of Mexico. This model aims to assess the impact of Discretionary Accrual Information (DAI) on financial reporting statements, in order to identify the value relevance of "earnings quality". We applied methodological criteria of Chung et al (2005) and Mukit & Iskandar (2009). We analyzed financial information of the 35 stock included in the Index of Prices and Quotations (IPC) of the Mexican Stock Exchange (BMV) for the period 2000 to 2011. 19 companies met the specifications of the model, for 48 quarters of information. The analysis was done in three parts: first, an analysis of the modified Jones´ model under panel data considerations by using fixed effects and adjustments of performing autocorrelation of order 1; second, a correlation analysis between the residuals of the modified Jones´ model and the return of stock price in 3 annual closings years of study: 2007, 2008 and 2009; and third, we incorporated this variable (DAI) in the Ohlson model (of the financial and corporate accounting literature) and we tested it with panel data analysis, under fixed effects, throughout the study period.

Research paper thumbnail of Innovation and CSR Impact on Financial Performance of Selected Companies in Mexico

Journal of Entrepreneurship, Management and Innovation

This study analyzes the behavior of the companies in the index of México's Precios y Cotizaciones... more This study analyzes the behavior of the companies in the index of México's Precios y Cotizaciones (IPC), with respect to measures of financial performance and its relationship with the two main approaches of innovation, according to the Bogota and Oslo manuals; assessing their impact on the stock price. The data is used on a quarterly basis from January 2000 to December 2011. It also makes reference to the impact of having the distinction "Socially Responsible Company" (Corporate Social Responsibility), in the Mexican stock market price reaction. Our main interest is to be pioneers in the search for relationships between topics that are currently treated as "alien" (CSR and Innovation) in formal academic publications, but we intuitively know that they are related inside organizations.

Research paper thumbnail of Un Modelo Tgarch Con Una Distribución T De Student Asimétrica y Las Hipotesis De Racionalidad De Los Inversionistas Bursátiles en Latinoamérica

Revista Economía y Política

Proponemos un modelo ARCH de tipo TGARCH con una distribución t de Student asimétrica. El mismo s... more Proponemos un modelo ARCH de tipo TGARCH con una distribución t de Student asimétrica. El mismo se construye usando la metodología de Fernández y Steel (1998) y el modelo TGARCH tradicional desarrollado por Zakoian (1994). El modelo se usa para describir series de rendimientos bursátiles y para evaluar la validez de las hipótesis de racionalidad en Latinoamérica. Los resultados sugieren que: 1) Las series de rendimientos analizadas pueden describirse adecuadamente con el modelo propuesto;

Research paper thumbnail of Ohlson-beta model for firms with short or long cycles: the case of Mexico

International Journal of Economics and Accounting, 2016

The aim of this study is to analyse the Ohlson model and an extension of it, the Ohlson-beta mode... more The aim of this study is to analyse the Ohlson model and an extension of it, the Ohlson-beta model, for stock prices listed in the Mexican Stock Exchange (BMV). It is added the beta coefficient to the traditional Ohlson model. The econometric analysis was done using time series and panel-data cointegration methodologies. It was found that the analysis under panel-data techniques is better for the Mexican data. The results show the correct signs in the variables (for both models) but the beta is only statistically significant in the stock prices of firms with short operating cycles.

Research paper thumbnail of Dependencia condicional entre los mercados bursátiles de México y Estados Unidos

Revista de análisis económico, 2016

In this paper the conditional dependence of stock market in Mexico and the United States is studi... more In this paper the conditional dependence of stock market in Mexico and the United States is studied. Symmetric Joe-Clayton copula is used and conditional probabilities of increases (decreases) in Mexico stock index when there are increases (decreases) in the U.S. stock index are estimated. For the marginal distributions, AR-TGARCH and AR-EGARCH models with a standardized Student's t distribution for innovations are proposed. Empirical results suggest that there is a high degree of conditional dependence in the tails, presenting higher volatility on the upper (right) tail throughout the period.

Research paper thumbnail of Un modelo TGARCH con una distribución t de Student asimétrica y las hipotesis de racionalidad de los inversionistas bursátiles en Latinoamérica

Proponemos un modelo ARCH de tipo TGARCH con una distribución t de Student asimétrica. El mismo s... more Proponemos un modelo ARCH de tipo TGARCH con una distribución t de Student asimétrica. El mismo se construye usando la metodología de Fernández y Steel (1998) y el modelo TGARCH tradicional desarrollado por Zakoian (1994). El modelo se usa para describir series de rendimientos bursátiles y para evaluar la validez de las hipótesis de racionalidad en Latinoamérica. Los resultados sugieren que: 1) Las series de rendimientos analizadas pueden describirse adecuadamente con el modelo propuesto;

Research paper thumbnail of Innovation and CSR Impact on Financial Performance of Selected Companies in Mexico

This study analyzes the behavior of the companies in the index of México's Precios y Cotizaciones... more This study analyzes the behavior of the companies in the index of México's Precios y Cotizaciones (IPC), with respect to measures of financial performance and its relationship with the two main approaches of innovation, according to the Bogota and Oslo manuals; assessing their impact on the stock price. The data is used on a quarterly basis from January 2000 to December 2011. It also makes reference to the impact of having the distinction "Socially Responsible Company" (Corporate Social Responsibility), in the Mexican stock market price reaction. Our main interest is to be pioneers in the search for relationships between topics that are currently treated as "alien" (CSR and Innovation) in formal academic publications, but we intuitively know that they are related inside organizations.

Research paper thumbnail of Risk-management criteria in the Latin-American stock markets: an assessment with a TGARCH model with a skewed normal distribution and autoregressive conditional asymmetry

International Journal of Computational Economics and Econometrics, 2015

We build a TGARCH model with a skewed normal distribution and autoregressive conditional asymmetr... more We build a TGARCH model with a skewed normal distribution and autoregressive conditional asymmetry. We use the model for modelling series of stock-market returns and for investigating some risk-management criteria prevailing in the Latin-American stock markets. The main results support the usefulness of the model. Particularly, they suggest that hedging and diversification practices among the markets may be useful for risk-management purposes. Moreover, they suggest that the most risk-averse investors are in Argentina and the least risk-averse ones in Colombia. Furthermore, they imply that the behaviour of investors may be more complex than the one postulated by the mean-variance paradigm.

Research paper thumbnail of Un modelo GARCH con asimetria condicional autorregresiva para modelar series de tiempo: Una aplicacion para los rendimientos del Indice de Precios y Cotizaciones de la BMV

We develop a GARCH model with autoregressive conditional asymmetry to describe time-series. This ... more We develop a GARCH model with autoregressive conditional asymmetry to describe time-series. This means that, in addition to the conditional mean and variance, we assume that the skewness describes the behavior of the time-series. Analytically, we use the methodology proposed by Fernandez and Steel (1998) to define the behavior of the innovations of the model. We use the approach developed by Brooks, et. al., (2005), to build it. Moreover, we show its usefulness by modeling the daily returns of the Mexican Stock Market Index (IPC) during the period between January 3rd, 2008 and September 29th, 2009.

Research paper thumbnail of Confianza de los inversionistas como determinante en el mercado accionario mexicano mediante un modelo TAR-EGARCH

In this work, a two regimes TAR-EGARCH model is applied in order to study the effects of psycholo... more In this work, a two regimes TAR-EGARCH model is applied in order to study the effects of psychological biases on the capital market. Implicit volatility is included in each regimen as an indicator of fear among informed investors. Conditional variance equation includes factors that represent investor’s overconfidence to determine if this emotional bias affects returns

Research paper thumbnail of Dependencia en mercados financieros latinoamericanos: enfoque basado en cópulas vine

PANORAMA ECONÓMICO

Este estudio aplica una metodología de cópulas vine regulares para evaluar el nivel de dependenci... more Este estudio aplica una metodología de cópulas vine regulares para evaluar el nivel de dependencia entre los mercados financieros de seis países latinoamericanos (Argentina, Brasil, Chile, Colombia, México y Perú) de enero de 2006 a septiembre de 2013. Se parte la muestra en tres periodos: antes, durante y después de la crisis de 2008. El comportamiento de las distribuciones marginales se describe mediante modelos AR(1)-TGARCH que resultan modelos adecuados para describir el comportamiento de los rendimientos y su volatilidad. Encontramos que los mercados de valores latinoamericanos presentan una mayor probabilidad de pérdidas extremas que de ganancias extremas y que la estructura de dependencia entre ellos se fortalece más en los períodos de crisis.

Research paper thumbnail of Value Relevance of the Ohlson model with Mexican data

Contaduría y Administración

EN ESTE TRABAJO SE EVALÚA EL VALOR DE RELEVANCIA ECONOMÉTRICO DE LAS VARIABLES CONTABLES MEXICANA... more EN ESTE TRABAJO SE EVALÚA EL VALOR DE RELEVANCIA ECONOMÉTRICO DE LAS VARIABLES CONTABLES MEXICANAS. EL PROPÓSITO DEL ESTUDIO ES PROBAR EL PODER EXPLICATIVO DE LAS VARIABLES CONTABLES EN EL PRECIO DE MERCADO DE LAS ACCIONES DE LAS EMPRESAS QUE COTIZAN EN LA BOLSA MEXICANA DE VALORES, DE 1991 A 2003. EL VALOR DE RELEVANCIA SE ANALIZA UTILIZANDO EL MODELO DE OHLSON (1995) DE LA LÍNEA DE INVESTIGACIÓN CONTABLE BASADA EN EL COMPORTAMIENTO DEL MERCADO. LA METODOLOGÍA SEGUIDA ES CONFORME A LO DESCRITO EN COLLINS, MAYDEW, AND WEISS (1997). LOS RESULTADOS ECONOMÉTRICOS, UTILIZANDO EL ANÁLISIS DE DATOS DE PANEL, PROVEEN EVIDENCIA DE QUE EL CAPITAL CONTABLE Y LAS UTILIDADES SON RELEVANTES PARA LAS EMPRESAS MEXICANAS PÚBLICAS Y ÚNICAMENTE EL CAPITAL CONTABLE ES RELEVANTE UTILIZANDO EL ANÁLISIS DE REGRESIÓN DE MÍNIMOS CUADRADOS ORDINARIOS. ADEMÁS DE LOS RESULTADOS OBTENIDOS CON EL MODELO DE OHLSON, SE PRESENTA EVIDENCIA DE UN MODELO ALTERNATIVO QUE BRINDA MAYOR PODER EXPLICATIVO. ESTE MODELO ALT...

Research paper thumbnail of El modelo Ohlson mediante cointegración de panel con datos mexicanos

Contaduría y Administración

En este estudio utilizamos métodos de cointegración para investigar la relación entre las variabl... more En este estudio utilizamos métodos de cointegración para investigar la relación entre las variables del modelo de Ohlson (precio de la acción, ganancia por acción y valor en libros) con datos de panel. Las pruebas de cointegración se realizaron de forma individual y a nivel de grupo total y por grupo de sectores. Las empresas estudiadas pertenecen a los sectores económicos de alimentos y bebidas, comercial y construcción, que cotizan en el Mercado Accionario Mexicano. Los datos utilizados fueron trimestrales de 1997 a 2008. Los resultados empíricos, basados en la prueba de Johansen, muestran que existen relaciones individuales de cointegración. Los resultados de las pruebas de cointegración en panel indican que las variables del modelo de Ohlson no están cointegradas para el sector de construcción, pero sí lo están para los sectores comercial y de alimentos y bebidas.

Research paper thumbnail of Conditional Correlation Between Oil and Stock Market Returns: The Case of Mexico

Revista Mexicana de Economía y Finanzas

In this study we analyze the relationship between the Oil price (under de Brent reference) and th... more In this study we analyze the relationship between the Oil price (under de Brent reference) and the returns of the companies listed on the Mexican Stock Market. The period of analysis was for 208 weeks of information from 2006 to 2010. We found positive conditional correlation using a BEKK model. And we provide graphical evidence of each company and the Oil price. Resumen En este estudio se analiza la relación entre el precio del petróleo (bajo la referencia del Precio Brent) y la rentabilidad de las empresas que cotizan en la Bolsa Mexicana de Valores. El periodo de análisis fue semanal de 2006 a 2010 (siendo 208 observaciones). Se encontró correlación positiva condicional utilizando un modelo de BEKK. Se presentan gráficas del comportamiento de cada empresa y el precio del petróleo.

Research paper thumbnail of Empirical evidence of the monetary approach to the exchange rate determinants under a fully flexible regime: the case of Mexico

International Journal of Monetary Economics and Finance

Research paper thumbnail of Valuation of Latin-American stock prices with alternative versions of the Ohlson model: An investigation of cointegration relationships with time-series and panel-data

We develop an investigation regarding the determinants of the stock prices in six Latin American ... more We develop an investigation regarding the determinants of the stock prices in six Latin American emerging markets (Argentina, Brazil, Chile, Colombia, Mexico and Peru). We test the traditional Ohlson model and an international version of it. The international model includes the Dow Jones index as an additional explanatory variable. We use time-series and panel-data cointegration methodologies to assess the long-run relationships among the variables postulated by both models. We use quarterly data for the period 2000:01-2010:03. The results suggest that panel-data techniques may be better than time-series ones for the assessments. They support the use of the Ohlson models and, specially, the international one. The variables are significant and have the postulated signs. These results hold when the firms are considered as a whole and for the commercial and construction firms. Furthermore, the results also suggest that the Latin American asset prices are complementary to the US ones in...

Research paper thumbnail of Relevance of Discretionary Accruals Information (DAI) in Ohlson Model: The Case of Mexico

This study applied the modified Jonesmodel (1991) for selected companies of Mexico. This model ai... more This study applied the modified Jonesmodel (1991) for selected companies of Mexico. This model aims to assess the impact of Discretionary Accrual Information (DAI) on financial reporting statements, in order to identify the value relevance of "earnings quality". We applied methodological criteria of Chung et al (2005) and Mukit & Iskandar (2009). We analyzed financial information of the 35 stock included in the Index of Prices and Quotations (IPC) of the Mexican Stock Exchange (BMV) for the period 2000 to 2011. 19 companies met the specifications of the model, for 48 quarters of information. The analysis was done in three parts: first, an analysis of the modified Jonesmodel under panel data considerations by using fixed effects and adjustments of performing autocorrelation of order 1; second, a correlation analysis between the residuals of the modified Jones´ model and the return of stock price in 3 annual closings years of study: 2007, 2008 and 2009; and third, we incorpo...

Research paper thumbnail of Conditional Probability of Jumps in Oil Prices

The objective of this research is to model the behavior of oil returns. The volatility of oil ret... more The objective of this research is to model the behavior of oil returns. The volatility of oil returns is described through a TGARCH process. Conditional probability jumps are incorporated through uniform, double exponential and normal jump intensity distributions. We found that the volatility of oil returns follows the stylized facts of leptokurtosis, leverage effect and volatility clustering. The abnormal information that causes the jumps, can cause another type of unexpected changes in the following period and the intensity of the jumps has a negative effect on the probability of jumps in the next period. The dynamic model proposed can be extended to other markets and to multivariate time series modeling considering the dependence among the markets’ returns. The main contribution of this work is the estimation of the conditional probability of jumps depending on the previous behavior leading to a better description of the stochastic dynamics of crude oil prices. This will be usefu...

Research paper thumbnail of Influencia macroeconómica y contable en los rendimientos accionarios en México

En este estudio se presenta una revision de la literatura de modelos factoriales, donde se integr... more En este estudio se presenta una revision de la literatura de modelos factoriales, donde se integran variables macroeconomicas y contable-financieras en la determinacion del rendimiento de las acciones de la Bolsa Mexicana de Valores. Se construye un modelo con tecnicas de analisis de datos de panel, encontrando que las variables macroeconomicas son relevantes, no asi las contable-financieras. / In this study, we presented factorial model review by incorporating macroeconomic and accounting-financial variables, in order to identify the value relevance of them on the return of the Mexican Stock Market. We used a model under the panel data considerations and we found that only the macroeconomic variables were significant, but not the accounting-financial variables.

Research paper thumbnail of Distribución De Los Rendimientos Del Mercado Mexicano Accionario

Estudios De Economia, 2006

We show an empirical study to compare the Normal, t-Student and the Normal Inverse Gaussian (NIG)... more We show an empirical study to compare the Normal, t-Student and the Normal Inverse Gaussian (NIG) distributions. This is made for the Mexican stock market returns. The parameters of the NIG and t-Student distributions are estimated by maximum likelihood. The rejection of normality is contundent using the omnibus test. The results are very clear: the adjustment of the NIG distribution is better than the adjustment for the Normal distribution. At the same time we used de Kolmogorov-Smirnov test to compare t-Student and NIG distributions.

Research paper thumbnail of Relevance of Discretionary Accruals in Ohlson Model: the Case of Mexico

Journal of Entrepreneurship, Management and Innovation, 2012

This study applied the modified Jones´ model (1991) for selected companies of Mexico. This model ... more This study applied the modified Jones´ model (1991) for selected companies of Mexico. This model aims to assess the impact of Discretionary Accrual Information (DAI) on financial reporting statements, in order to identify the value relevance of "earnings quality". We applied methodological criteria of Chung et al (2005) and Mukit & Iskandar (2009). We analyzed financial information of the 35 stock included in the Index of Prices and Quotations (IPC) of the Mexican Stock Exchange (BMV) for the period 2000 to 2011. 19 companies met the specifications of the model, for 48 quarters of information. The analysis was done in three parts: first, an analysis of the modified Jones´ model under panel data considerations by using fixed effects and adjustments of performing autocorrelation of order 1; second, a correlation analysis between the residuals of the modified Jones´ model and the return of stock price in 3 annual closings years of study: 2007, 2008 and 2009; and third, we incorporated this variable (DAI) in the Ohlson model (of the financial and corporate accounting literature) and we tested it with panel data analysis, under fixed effects, throughout the study period.

Research paper thumbnail of Innovation and CSR Impact on Financial Performance of Selected Companies in Mexico

Journal of Entrepreneurship, Management and Innovation

This study analyzes the behavior of the companies in the index of México's Precios y Cotizaciones... more This study analyzes the behavior of the companies in the index of México's Precios y Cotizaciones (IPC), with respect to measures of financial performance and its relationship with the two main approaches of innovation, according to the Bogota and Oslo manuals; assessing their impact on the stock price. The data is used on a quarterly basis from January 2000 to December 2011. It also makes reference to the impact of having the distinction "Socially Responsible Company" (Corporate Social Responsibility), in the Mexican stock market price reaction. Our main interest is to be pioneers in the search for relationships between topics that are currently treated as "alien" (CSR and Innovation) in formal academic publications, but we intuitively know that they are related inside organizations.

Research paper thumbnail of Un Modelo Tgarch Con Una Distribución T De Student Asimétrica y Las Hipotesis De Racionalidad De Los Inversionistas Bursátiles en Latinoamérica

Revista Economía y Política

Proponemos un modelo ARCH de tipo TGARCH con una distribución t de Student asimétrica. El mismo s... more Proponemos un modelo ARCH de tipo TGARCH con una distribución t de Student asimétrica. El mismo se construye usando la metodología de Fernández y Steel (1998) y el modelo TGARCH tradicional desarrollado por Zakoian (1994). El modelo se usa para describir series de rendimientos bursátiles y para evaluar la validez de las hipótesis de racionalidad en Latinoamérica. Los resultados sugieren que: 1) Las series de rendimientos analizadas pueden describirse adecuadamente con el modelo propuesto;

Research paper thumbnail of Ohlson-beta model for firms with short or long cycles: the case of Mexico

International Journal of Economics and Accounting, 2016

The aim of this study is to analyse the Ohlson model and an extension of it, the Ohlson-beta mode... more The aim of this study is to analyse the Ohlson model and an extension of it, the Ohlson-beta model, for stock prices listed in the Mexican Stock Exchange (BMV). It is added the beta coefficient to the traditional Ohlson model. The econometric analysis was done using time series and panel-data cointegration methodologies. It was found that the analysis under panel-data techniques is better for the Mexican data. The results show the correct signs in the variables (for both models) but the beta is only statistically significant in the stock prices of firms with short operating cycles.

Research paper thumbnail of Dependencia condicional entre los mercados bursátiles de México y Estados Unidos

Revista de análisis económico, 2016

In this paper the conditional dependence of stock market in Mexico and the United States is studi... more In this paper the conditional dependence of stock market in Mexico and the United States is studied. Symmetric Joe-Clayton copula is used and conditional probabilities of increases (decreases) in Mexico stock index when there are increases (decreases) in the U.S. stock index are estimated. For the marginal distributions, AR-TGARCH and AR-EGARCH models with a standardized Student's t distribution for innovations are proposed. Empirical results suggest that there is a high degree of conditional dependence in the tails, presenting higher volatility on the upper (right) tail throughout the period.

Research paper thumbnail of Un modelo TGARCH con una distribución t de Student asimétrica y las hipotesis de racionalidad de los inversionistas bursátiles en Latinoamérica

Proponemos un modelo ARCH de tipo TGARCH con una distribución t de Student asimétrica. El mismo s... more Proponemos un modelo ARCH de tipo TGARCH con una distribución t de Student asimétrica. El mismo se construye usando la metodología de Fernández y Steel (1998) y el modelo TGARCH tradicional desarrollado por Zakoian (1994). El modelo se usa para describir series de rendimientos bursátiles y para evaluar la validez de las hipótesis de racionalidad en Latinoamérica. Los resultados sugieren que: 1) Las series de rendimientos analizadas pueden describirse adecuadamente con el modelo propuesto;

Research paper thumbnail of Innovation and CSR Impact on Financial Performance of Selected Companies in Mexico

This study analyzes the behavior of the companies in the index of México's Precios y Cotizaciones... more This study analyzes the behavior of the companies in the index of México's Precios y Cotizaciones (IPC), with respect to measures of financial performance and its relationship with the two main approaches of innovation, according to the Bogota and Oslo manuals; assessing their impact on the stock price. The data is used on a quarterly basis from January 2000 to December 2011. It also makes reference to the impact of having the distinction "Socially Responsible Company" (Corporate Social Responsibility), in the Mexican stock market price reaction. Our main interest is to be pioneers in the search for relationships between topics that are currently treated as "alien" (CSR and Innovation) in formal academic publications, but we intuitively know that they are related inside organizations.

Research paper thumbnail of Risk-management criteria in the Latin-American stock markets: an assessment with a TGARCH model with a skewed normal distribution and autoregressive conditional asymmetry

International Journal of Computational Economics and Econometrics, 2015

We build a TGARCH model with a skewed normal distribution and autoregressive conditional asymmetr... more We build a TGARCH model with a skewed normal distribution and autoregressive conditional asymmetry. We use the model for modelling series of stock-market returns and for investigating some risk-management criteria prevailing in the Latin-American stock markets. The main results support the usefulness of the model. Particularly, they suggest that hedging and diversification practices among the markets may be useful for risk-management purposes. Moreover, they suggest that the most risk-averse investors are in Argentina and the least risk-averse ones in Colombia. Furthermore, they imply that the behaviour of investors may be more complex than the one postulated by the mean-variance paradigm.

Research paper thumbnail of Un modelo GARCH con asimetria condicional autorregresiva para modelar series de tiempo: Una aplicacion para los rendimientos del Indice de Precios y Cotizaciones de la BMV

We develop a GARCH model with autoregressive conditional asymmetry to describe time-series. This ... more We develop a GARCH model with autoregressive conditional asymmetry to describe time-series. This means that, in addition to the conditional mean and variance, we assume that the skewness describes the behavior of the time-series. Analytically, we use the methodology proposed by Fernandez and Steel (1998) to define the behavior of the innovations of the model. We use the approach developed by Brooks, et. al., (2005), to build it. Moreover, we show its usefulness by modeling the daily returns of the Mexican Stock Market Index (IPC) during the period between January 3rd, 2008 and September 29th, 2009.

Research paper thumbnail of Confianza de los inversionistas como determinante en el mercado accionario mexicano mediante un modelo TAR-EGARCH

In this work, a two regimes TAR-EGARCH model is applied in order to study the effects of psycholo... more In this work, a two regimes TAR-EGARCH model is applied in order to study the effects of psychological biases on the capital market. Implicit volatility is included in each regimen as an indicator of fear among informed investors. Conditional variance equation includes factors that represent investor’s overconfidence to determine if this emotional bias affects returns

Research paper thumbnail of Dependencia en mercados financieros latinoamericanos: enfoque basado en cópulas vine

PANORAMA ECONÓMICO

Este estudio aplica una metodología de cópulas vine regulares para evaluar el nivel de dependenci... more Este estudio aplica una metodología de cópulas vine regulares para evaluar el nivel de dependencia entre los mercados financieros de seis países latinoamericanos (Argentina, Brasil, Chile, Colombia, México y Perú) de enero de 2006 a septiembre de 2013. Se parte la muestra en tres periodos: antes, durante y después de la crisis de 2008. El comportamiento de las distribuciones marginales se describe mediante modelos AR(1)-TGARCH que resultan modelos adecuados para describir el comportamiento de los rendimientos y su volatilidad. Encontramos que los mercados de valores latinoamericanos presentan una mayor probabilidad de pérdidas extremas que de ganancias extremas y que la estructura de dependencia entre ellos se fortalece más en los períodos de crisis.

Research paper thumbnail of Value Relevance of the Ohlson model with Mexican data

Contaduría y Administración

EN ESTE TRABAJO SE EVALÚA EL VALOR DE RELEVANCIA ECONOMÉTRICO DE LAS VARIABLES CONTABLES MEXICANA... more EN ESTE TRABAJO SE EVALÚA EL VALOR DE RELEVANCIA ECONOMÉTRICO DE LAS VARIABLES CONTABLES MEXICANAS. EL PROPÓSITO DEL ESTUDIO ES PROBAR EL PODER EXPLICATIVO DE LAS VARIABLES CONTABLES EN EL PRECIO DE MERCADO DE LAS ACCIONES DE LAS EMPRESAS QUE COTIZAN EN LA BOLSA MEXICANA DE VALORES, DE 1991 A 2003. EL VALOR DE RELEVANCIA SE ANALIZA UTILIZANDO EL MODELO DE OHLSON (1995) DE LA LÍNEA DE INVESTIGACIÓN CONTABLE BASADA EN EL COMPORTAMIENTO DEL MERCADO. LA METODOLOGÍA SEGUIDA ES CONFORME A LO DESCRITO EN COLLINS, MAYDEW, AND WEISS (1997). LOS RESULTADOS ECONOMÉTRICOS, UTILIZANDO EL ANÁLISIS DE DATOS DE PANEL, PROVEEN EVIDENCIA DE QUE EL CAPITAL CONTABLE Y LAS UTILIDADES SON RELEVANTES PARA LAS EMPRESAS MEXICANAS PÚBLICAS Y ÚNICAMENTE EL CAPITAL CONTABLE ES RELEVANTE UTILIZANDO EL ANÁLISIS DE REGRESIÓN DE MÍNIMOS CUADRADOS ORDINARIOS. ADEMÁS DE LOS RESULTADOS OBTENIDOS CON EL MODELO DE OHLSON, SE PRESENTA EVIDENCIA DE UN MODELO ALTERNATIVO QUE BRINDA MAYOR PODER EXPLICATIVO. ESTE MODELO ALT...

Research paper thumbnail of El modelo Ohlson mediante cointegración de panel con datos mexicanos

Contaduría y Administración

En este estudio utilizamos métodos de cointegración para investigar la relación entre las variabl... more En este estudio utilizamos métodos de cointegración para investigar la relación entre las variables del modelo de Ohlson (precio de la acción, ganancia por acción y valor en libros) con datos de panel. Las pruebas de cointegración se realizaron de forma individual y a nivel de grupo total y por grupo de sectores. Las empresas estudiadas pertenecen a los sectores económicos de alimentos y bebidas, comercial y construcción, que cotizan en el Mercado Accionario Mexicano. Los datos utilizados fueron trimestrales de 1997 a 2008. Los resultados empíricos, basados en la prueba de Johansen, muestran que existen relaciones individuales de cointegración. Los resultados de las pruebas de cointegración en panel indican que las variables del modelo de Ohlson no están cointegradas para el sector de construcción, pero sí lo están para los sectores comercial y de alimentos y bebidas.

Research paper thumbnail of Conditional Correlation Between Oil and Stock Market Returns: The Case of Mexico

Revista Mexicana de Economía y Finanzas

In this study we analyze the relationship between the Oil price (under de Brent reference) and th... more In this study we analyze the relationship between the Oil price (under de Brent reference) and the returns of the companies listed on the Mexican Stock Market. The period of analysis was for 208 weeks of information from 2006 to 2010. We found positive conditional correlation using a BEKK model. And we provide graphical evidence of each company and the Oil price. Resumen En este estudio se analiza la relación entre el precio del petróleo (bajo la referencia del Precio Brent) y la rentabilidad de las empresas que cotizan en la Bolsa Mexicana de Valores. El periodo de análisis fue semanal de 2006 a 2010 (siendo 208 observaciones). Se encontró correlación positiva condicional utilizando un modelo de BEKK. Se presentan gráficas del comportamiento de cada empresa y el precio del petróleo.