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Revisión de la Inversión Sustentable en La Bolsa Mexicana Durante Periodos de Crisis

Author

Listed:
  • Oscar V. De la Torre Torres

    (Universidad Michoacana de San Nicolás de Hidalgo, Facultad de Contaduría y Ciencias Administrativas)

  • María Isabel Martínez Torre-Enciso

    (Universidad Autónoma de Madrid, Departamento de Financiación e Investigación Comercial)

Abstract

El presente trabajo estudia la eficiencia media-varianza de la inversión sustentable (IS) en México. Esto al comparar el índice IPC sustentable (IPCS) con el IPC compuesto (IPCcomp). Utilizando valores de periocidad diarios de noviembre de 2008 a Septiembre de 2014, asÌ como un modelo CAPM estándar, la prueba de expansión de Huberman y Kandel (1987) y un modelo AR(0) markoviano de cambio de régimen, el presente estudio demuestra que existe una igualdad estadística en el desempeño del IPCS y el IPCcomp. Esto sugiere que la IS (como estilo de inversión) es un buen sustituto ante la inversión convencional en un índice de mercado más amplio. Esto último sin exponer al inversionista a una pérdida significativa de eficiencia media-varianza. Las dos aportaciones torales del trabajo son 1) que es de los primeros en realizarse en la inversión sustentable mexicana y 2) que los resultados se sostienen ante la presencia de dos regímenes de volatilidad.

Suggested Citation

  • Oscar V. De la Torre Torres & María Isabel Martínez Torre-Enciso, 2015. "Revisión de la Inversión Sustentable en La Bolsa Mexicana Durante Periodos de Crisis," 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. 10(2), pages 115-130, Julio-Dic.
    • Handle: RePEc:imx:journl:v:10:y:2015:i:2:p:115-130
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    References listed on IDEAS

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    More about this item

    Keywords

    Modelos Markovianos de Cambio de Régimen; Diversificación; Selección de Portafolios; Simulación y Pronostico Financiero; Inversión ética; Sustentabilidad;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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