ANÁLISIS DEL RIESGO BETA EN EL MERCADO BURSÁTIL ESPAÑOL

Authors

  • Rosa María Cáceres Apolinario Departamento de Economía Financiera y Contabilidad, ULPGC
  • Juan García Boza Departamento de Economía Financiera y Contabilidad, ULPGC

DOI:

https://doi.org/10.21919/remef.v3i2.167

Keywords:

Beta, Estabilidad, Comportamiento temporal, Predicción

Abstract

The objective of this paper is the analysis of t he beta risk of different individual stocks and asset portfolios from the Spanish Stock Market during the period 1991-2000. Analysing the stability of the beta coefficient over time by means of contrasts based on the recursive residuals , studying the temporal behaviour by means of different intervals, and obtaining the forecast by means of different methodologies. To do this, we carry out estimates of the beta risk obtained from Generalised Least Squares, using different stock exchange indexes as proxies of the market portfolio.

Downloads

How to Cite

Cáceres Apolinario, R. M., & García Boza, J. (2017). ANÁLISIS DEL RIESGO BETA EN EL MERCADO BURSÁTIL ESPAÑOL. Revista Mexicana De Economía Y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), 3(2). https://doi.org/10.21919/remef.v3i2.167

Issue

Vol. 3 No. 2: Junio

Section

Artículos