Análisis de la influencia de la actividad real de la economía sobre la volatilidad de la rentabilidad accionaria: un caso en el sector de edificación en México
DOI:
https://doi.org/10.18381/eq.v14i2.7103Palabras clave:
GARCH, crecimiento económico, desarrollo de vivienda.Resumen
La relación entre la actividad económica y el sistema financiero es un debate que ha estado presente en diferentes teorías que explican el crecimiento económico. En el análisis empírico de esta relación se han empleado diferentes técnicas como las pruebas de causalidad, la cointegración y modelos de volatilidad, cuyas conclusiones no necesariamente pueden extrapolarse a las realidades de diferentes países y sectores. El propósito de este artículo es analizar por medio de un modelo GARCH, de manera particular, el caso del sector de desarrollo de vivienda en México, analizando la relación entre el sistema financiero mediante el análisis de la volatilidad en los rendimientos de una empresa representativa de dicho sector y un indicador del desempeño esperado de la economía. Encontrando que existe una relación inversa entre la actividad económica esperada sobre la varianza de los rendimientos de la acción de la empresa.Descargas
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