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Estadística multivariada aplicada a la clasificación de empresas que cotizan en la Bolsa Mexicana de Valores

Author

Listed:
  • Carlos Cristian De la Rosa Flores

    (Universidad Autónoma de Chihuahua, México)

  • Ana Isabel Ordóñez Parada

    (Universidad Autónoma de Chihuahua, México)

  • Cristina Cabrera Ramos

    (Universidad Autónoma de Chihuahua, México)

  • Viviana Berroterán Martínez

    (Universidad Autónoma de Chihuahua, México)

Abstract

El objetivo fue evidenciar la eficacia de la estadística multivariada para compactar, analizar y clasificar información obtenida de indicadores de desempeño financiero. Se aplicó un análisis de componentes principales (ACP), justificado por la prueba de medida Kaiser-Meyer-Olkin (KMO) y la prueba de esfericidad de Barlett, a 14 razones financieras de cada una de las 21 empresas seleccionadas por medio de un muestreo probabilístico, que cotizaron en la Bolsa Mexicana de Valores durante el año 2017, para finalmente aplicar un análisis cluster jerárquico y otro no jerárquico. En los resultados se obtuvieron 3 componentes principales capaces de resumir la variabilidad total en un 76% con lo que se logró hacer una clasificación de menor a mayor nivel de liquidez, rentabilidad y actividad, además de formar clusters de empresas en relación a la semejanza de su desempeño financiero. Sugerimos replicar esta investigación en empresas que cotizan en otros mercados, tales como el NYSE o el NASDAQ. Se concluye que la estadística multivariada es capaz de generar información financiera más compacta, optimizando la toma de decisiones por parte de inversionistas.

Suggested Citation

  • Carlos Cristian De la Rosa Flores & Ana Isabel Ordóñez Parada & Cristina Cabrera Ramos & Viviana Berroterán Martínez, 2021. "Estadística multivariada aplicada a la clasificación de empresas que cotizan en la Bolsa Mexicana de Valores," 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. 16(1), pages 1-23, Enero - M.
    • Handle: RePEc:imx:journl:v:16:y:2021:i:1:a:9
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    References listed on IDEAS

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    More about this item

    Keywords

    Razones financieras; estadística multivariada; análisis de componentes principales; análisis cluster.;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • F23 - International Economics - - International Factor Movements and International Business - - - Multinational Firms; International Business
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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