"Efecto del Ciclo Económico sobre Estrategias de Inversión: Evidencia para México "

Mauricio Cervantes; Miguel Ángel Montoya; L. Arturo Bernal Ponce

doi:10.21919/remef.v11i2.85

Authors

Mauricio Cervantes Tecnológico de Monterrey Campus Guadalajara, Departamento de Contabilidad y Finanzas
Miguel Ángel Montoya Tecnológico de Monterrey Campus Guadalajara, Departamento de Contabilidad y Finanzas
L. Arturo Bernal Ponce Tecnológico de Monterrey Campus Guadalajara, Departamento de Contabilidad y Finanzas

DOI:

https://doi.org/10.21919/remef.v11i2.85

Abstract

The main objective of this research is to analyze whether the business cycle has an effect on investment strategies. In order to ascertain this, we use as methodology, a multifactorial time series analysis. Specifically, we test whether short-term cycle investment strategies and long-term cycle investment strategies can be observed. We use data from the Mexican Stock Exchange, for the period 1993 – 2006. Our results show a statistical evidence of short-term cycle but not for long-term cycle investment opportunities. One of the implications of this discovery is that these results add to the works that challenge the efficient market hypothesis. As a conclusion, this work add some evidence to the writing that link the financial sector with economic activity. In particular, we found some evidence of a relationship between business cycle and short-term investment strategies.