<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>1665-5346</journal-id>
<journal-title><![CDATA[Revista mexicana de economía y finanzas]]></journal-title>
<abbrev-journal-title><![CDATA[Rev. mex. econ. finanz]]></abbrev-journal-title>
<issn>1665-5346</issn>
<publisher>
<publisher-name><![CDATA[Instituto Mexicano de Ejecutivos de Finanzas A.C.]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S1665-53462022000400001</article-id>
<article-id pub-id-type="doi">10.21919/remef.v17i4.788</article-id>
<title-group>
<article-title xml:lang="en"><![CDATA[ESG Green Equity Finance Risk and Links in Mexico: Conditional Volatility and Markov Switching Vector Analyses]]></article-title>
<article-title xml:lang="es"><![CDATA[Riesgo en el índice sustentable ESG y sus vínculos en México: Análisis de Volatilidad Condicional y de Vectores de Cambio de Markov]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Sosa]]></surname>
<given-names><![CDATA[Miriam]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Ortiz]]></surname>
<given-names><![CDATA[Edgar]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Cabello]]></surname>
<given-names><![CDATA[Alejandra]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad Nacional Autónoma de México  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>12</month>
<year>2022</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>12</month>
<year>2022</year>
</pub-date>
<volume>17</volume>
<numero>4</numero>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S1665-53462022000400001&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S1665-53462022000400001&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S1665-53462022000400001&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract We analyze the differential influence of Mexican oil price, exchange rate and S&amp;P 500 Index on the Mexican Stock Exchange: S&amp;P/BMV IPC ESG Tilted Index (sustainable stock market index), and on the S&amp;P/BMV IPC (General stock market index) in two different regimes. First, we estimate the conditional volatility of the series using a univariate GARCH model under the t-Student distribution. Second, a Markov Switching Vector Autoregressive model is developed. The evidence identifies sustainable asset performance, risk, and interaction with other regular assets. The sustainable index is more vulnerable to the foreign exchange market and to the U.S. stock market, especially in periods of turbulence. Only the S&amp;P 500 shows a statistically significant impact on the overall Mexican index, for both states high and low volatility. Oil prices do not have a significant impact on the Mexican indices analyzed. Evidence allows us to recommend a currency hedging in ESG investments. Originality relies on empirical approaches and the study of ESG index in an emerging market. Limitations are related with the scarce information and limited access to ESG factors data. We conclude that investment strategies should be different during calm and turmoil periods.]]></p></abstract>
<abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen El financiamiento accionario derivado de estrategias de Gobernanza Social Ambiental (ESG) se ha convertido en una fuente importante para promover el desarrollo sostenible. Analizamos la influencia diferencial del precio del petróleo mexicano, el tipo de cambio y el índice S&amp;P 500 sobre los indicadores de la Bolsa Mexicana de Valores: S&amp;P/BMV IPC ESG Index (índice bursátil sostenible), y en el índice general de la bolsa, S&amp;P/BMV IPC en dos regímenes diferentes. Primero, estimamos la volatilidad condicional de la serie utilizando un modelo GARCH univariado bajo la distribución t-Student. Posteriormente desarrollamos un modelo de Vectores Autorregresivos con cambio de Régimen de Markov (MSVAR). La evidencia identifica el rendimiento de los activos sustentables, su riesgo y la interacción con otros activos regulares. El índice ESG es más vulnerable al mercado de divisas y al mercado de valores de Estados Unidos, especialmente en períodos de turbulencia. Se identifica un impacto significativo del S&amp;P500 en el índice general en ambos regímenes: alta y baja volatilidad. Los precios del petróleo no muestran una influencia significativa en los índices mexicanos analizados. Los resultados ilustran el riesgo y potencial de estrategias de cobertura utilizando acciones sostenibles en carteras de inversión. Es preciso un mayor desarrollo empresarial y del mercado de valores, así como formular más políticas y regulaciones para promover una mayor participación de los inversionistas en el financiamiento verde en México.]]></p></abstract>
<kwd-group>
<kwd lng="en"><![CDATA[ESG Index]]></kwd>
<kwd lng="en"><![CDATA[Stock Markets]]></kwd>
<kwd lng="en"><![CDATA[Mexican Bourse]]></kwd>
<kwd lng="en"><![CDATA[Standard and Poor&#8217;s 500]]></kwd>
<kwd lng="es"><![CDATA[Índice ESG]]></kwd>
<kwd lng="es"><![CDATA[Bolsa de Valores]]></kwd>
<kwd lng="es"><![CDATA[Bolsa Mexicana de Valores]]></kwd>
<kwd lng="es"><![CDATA[Standard and Poor&#8217;s 500]]></kwd>
</kwd-group>
</article-meta>
</front><back>
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