SciELO - Scientific Electronic Library Online

 
vol.35 número88Estructura de las exportaciones y competitividad. El caso de México, 1995-2017Inercia del consumidor en aerolíneas de bajo costo en México índice de autoresíndice de materiabúsqueda de artículos
Home Pagelista alfabética de revistas  

Servicios Personalizados

Revista

Articulo

Indicadores

Links relacionados

  • No hay artículos similaresSimilares en SciELO

Compartir


Análisis económico

versión On-line ISSN 2448-6655versión impresa ISSN 0185-3937

Resumen

LORENZO-VALDES, Arturo. Investor confidence as a determinant in the Mexican stock market through a TAR-EGARCH model. Anál. econ. [online]. 2020, vol.35, n.88, pp.147-165.  Epub 13-Nov-2020. ISSN 2448-6655.

In this work, a two regimes TAR-EGARCH model is applied in order to study the effects of psychological biases on the capital market. Implicit volatility is included in each regimen as an indicator of fear among informed investors. Conditional variance equation includes factors that represent investor’s overconfidence to determine if this emotional bias affects returns volatility.

The results show that overconfidence is a determinant of volatility; and the regimes in the conditional mean, are determined by confidence that uninformed investors have of the economy. The fear of rational investors affects the stock returns in each regime.

Palabras llave : Stock returns; behavioral finance; TAR-EGARCH; confidence.

        · resumen en Español     · texto en Español     · Español ( pdf )