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¿Han sido el IBEX35 y el IPC definiciones financieramente eficientes del portafolio de mercado?

Author

Listed:
  • De la Torre Torres Oscar Valdemar

    (Universidad Michoacana de San Nicolás de Hidalgo)

  • Martínez Torre Enciso, María Isabel

    (Universidad Autonóma de Madrid)

Abstract

The present paper questions the financial efficiency of the most used market portfolio proxies in Spain and Mexico (IBEX35 and IPC) in order to determine if these can be considered a proper market portfolio proxy. The paper questions if they can be used as “neutrals”, according to Black & Litterman (1992) proposals in portfolio management. For this purpose, two discrete event simulations that use the Markowtiz-Tobin-Sharpe-Linter model (Markowitz, 1987, p.5) are performed with monthly data of the stock members of these indices in a February 2001 to December 2010 time window. The results are compared by using the Sharpe ratio (Sharpe, 1966) and show that the equilibrium assumptions in the market do not hold, leading to conclude that these market portfolio proxies are inefficient.

Suggested Citation

  • De la Torre Torres Oscar Valdemar & Martínez Torre Enciso, María Isabel, 2013. "¿Han sido el IBEX35 y el IPC definiciones financieramente eficientes del portafolio de mercado?," Contaduría y Administración, Accounting and Management, vol. 58(4), pages 223-252, octubre-d.
    • Handle: RePEc:nax:conyad:v:58:y:2013:i:4:p:223-252
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    More about this item

    Keywords

    técnicas de optimización; modelos de simulación; selección de portafolios; valuación de activos;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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