Resumen

CERVANTES ZEPEDA, Mauricio; MONTOYA BAYARDO, Miguel Ángel  y  BERNAL PONCE, Luis Arturo. Effect of the Business Cycle on Investment Strategies: Evidence from Mexico. Rev. mex. econ. finanz [online]. 2016, vol.11, n.2, pp.39-49. ISSN 2448-6795.

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 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 adds 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.

JEL Classification: F30, G11, G12, G14.

Palabras llave : International Finance; Investment Decisions; Asset Pricing; Market Efficiency.

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