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EconoQuantum

On-line version ISSN 2007-9869Print version ISSN 1870-6622

Abstract

REBOLLO CATALAN, David  and  VAZQUEZ GUILLEN, Xiomara. The heterogeneity of the investment agents in the series of the Mexican Stock Exchange. EconoQuantum [online]. 2020, vol.17, n.1, pp.69-94.  Epub June 04, 2020. ISSN 2007-9869.  https://doi.org/10.18381/eq.v17i1.7095.

Investing Agents that intervene in a market, build the market according to their needs. The literature on this subject suggest that certain isolated characteristics of the investing agents are positively related to their decisions and indirectly to the stocks’ prices. From this perspective, this research work is primarily focused in studying the combination of the agents’indicators that previously have demonstrated this effect, aiming to characterize the series in a complex way. The second objective of this work was to identify which indicators intervene in the volatility of the stock returns. Based on a sample of 1,116 investing agents participating in 84 series in the Mexican Stock Exchange (BMV), the results of this empirical study, suggest three different types of series and three indicators significatively related with the volatility of the stock returns: the level of participation of the agents in the series, the typology of family agents and the culture proximity of the agent. This study contributes with relevant information in relation to how the complexity of the structure of the participating investing agents is positively related with the stock series´ performance in the Mexican Stock Exchange (BMV).

Keywords : investing agents; Mexican Stock Exchange; market heterogeneity; volatility; G10; G19; G32.

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