Resumen

TORRE TORRES, Oscar V. De la  y  MARTINEZ TORRE-ENCISO, Ma. Isabel. Revisión de la inversión sustentable en la Bolsa Mexicana durante periodos de crisis. Rev. mex. econ. finanz [online]. 2015, vol.10, n.2, pp.115-130. ISSN 2448-6795.

The present paper studies the mean-variance efficiency of sustainable investment (SI) in Mexico by testing the IPC sustainability (IPCS) index against the broad market IPCcomp one. Using daily index values from November 2008 to September 2014, along with a standard CAPM model, a Huberman and Kandel (1987) CAPM spanning test and an AR(0) Markov-Switching Model, the present study shows a statistically equal performance between the IPCS and the IPCcomp, suggesting SI (as investment style) as a good substitute of the broad market one without a significant loss of mean-variance efficiency. The two breakthroughs of the present paper are 1) these tests are the first ones of its type in the Mexican Sustainable investment and 2) the fact that our conclusions give support to SI in the presence of two volatility regimes.

Palabras llave : Modelos Markovianos de Cambio de Régimen; Diversificación; Selección de Portafolios; Simulación y Pronóstico Financiero; Inversión ética; Sustentabilidad.

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