Resumen de Rentabilidad y riesgo en el mercado bursátil mexicano
Terms like panic, turbulence, depreciation, collapse, transmission and contagion have been a common denominator in the headlines of the world¿s newspapers when the stock markets become unstable and react negatively to news.
This paper presents three basic premises for the problem and the following three research questions and hypotheses: turbulence in the markets and atypical performance; globalization creates an interlaced fragility; and the contagion of the mistrust (the individual and collective psychology).
The main objective is to model the economic indexes of the main stock markets in the Pacific region, Europe and American regions to analyze if the windows of high volatility explain the atypical behavior of the prices and performance of the Mexican stock market as it pertains to transmission, particularly in the New York stock market.
Three hypotheses were put forward which highlight the specific objectives: Hypothesis 1. In periods of atypical volatility, the changes in past prices do not affect current prices.
Conclusions. A strong linear relationship between the prices and performance of the direct stock market indexes in the study: SSE_Shanghai, Nikkei225_Japan, Ftse100_United Kingdom, Ibex35_Spain. The interrelationship between Asia and the United States is weak, nevertheless, the volatility is transmitted through the European markets, like that of London.
Hypothesis 2. The strength of the index relationships depends upon the size of the markets, as well as the time zone (GMT).
Conclusions. The coefficients of interrelationship decrease based on the hours of operation of the markets. The markets receive and process the impact of the news and react in the expected direction, which confirms the efficiency hypothesis of the market: everything is discounted. Time is a fundamental variable in transmission and volatility. Hypothesis 3. The most important news causes movements in the markets. These movements are concentrated in short periods of time.
Conclusions. In studying the events of a recent economic crisis, three major related events were discovered: the Greek crisis, the Chinese crisis and the results of Brexit.
Finally, the areas of opportunity for future research include: Line 1. The assumptions of normalcy. Evaluate the results attained with other options when the distribution of yields is extremely high, particularly: Gumbel, Frechet and Weibull.
Line 2. Universal gravitation. Find and demonstrate the strengths in the markets within the framework of Newton¿s laws, which give meaning to movement.
Line 3. Model the data within the framework of nondynamic systems (nonlinear). A small initial variation produces substantial changes in the state of the final process. The dependence on the future because of initial conditions. Fractals and complex systems, bifurcations, orderly disorder and strange attractors are the fascinating topics to consider.
