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Mercado Integrado Latinoamericano (MILA): análisis de correlación y diversificación de los portafolios de acciones de los tres países miembros en el período 2007-2012

Latin American Integrated Market (MILA): A Correlation and Diversification Analysis of the Stock Portfolios of the Three Member Countries in the Period 2007-2012;
Mercado Integrado Latino-americano (MILA): análise de correlação e diversificação dos portfólios de ações dos três países membros no período 2007-2012

dc.creatorRomero-Álvarez, Yaneth Patriciaspa
dc.creatorRamírez-Atehortúa, Fabián Hernandospa
dc.creatorGuzmán-Aguilar, Diana Sirleyspa
dc.date.accessioned2017-06-15T21:49:39Z
dc.date.available2017-06-15T21:49:39Z
dc.date.created2013
dc.identifier.citationRomero-Álvarez, Y. P.; Ramírez Atehortúa, F. H. & Guzmán Aguilar, D. S. (2013). Mercado Integrado Latinoamericano (MILA): análisis de correlación y diversificación de los portafolios de acciones de los tres países miembros en el período 2007-2012. Cuadernos de Contabilidad, 14 (34), 53-74.spa
dc.identifier.issn01231472
dc.identifier.urihttp://hdl.handle.net/11407/3339
dc.descriptionEn este trabajo se analizan los factores en común de los mercados accionarios de los países pertenecientes al Mercado Integrado Latinoamericano, MILA: Chile, Colombia y Perú, con el fin de explorar la existencia de una posible integración financiera que afecte los beneficios de diversificación para los inversionistas. Para ello, se investigan los rendimientos históricos diarios de las 15 acciones más negociadas en cada uno de ellos, en el período de enero de 2009 a junio de 2012, sobre los cuales se realizan dos evaluaciones: primero, se obtiene el portafolio óptimo en cada país y otro del mercado en conjunto; y segundo, mediante un análisis de componentes principales en cada país, se determinan el número de factores de riesgo compartidos y la incidencia de cada país en su variación. Encontramos una alta correlación entre los activos de los países, lo cual evidencia una integración financiera que repercute en que los beneficios de una diversificación de portafolios para un inversionista se minimicen. Se espera continuar con la aplicación de metodologías novedosas relacionadas con los mercados integrados teniendo en cuenta variables fundamentales que incidan en los resultados.spa
dc.descriptionThe present paper analyses common factors in the stock markets of the member countries of the Latin American Integrated Market (MILA), Chile, Colombia and Peru, with the purpose of exploring the existence of a possible financial integration that would affect diversification benefits for investors. For that purpose the daily historic performances of the fifteen most negotiated stocks in each of them was studied, in the period between January 2009 and June 2012. Two evaluations were performed on these performances: first, through principal component analysis in each country, the number of shared risk factors and the impact of each country in its variation were determined. A high correlation between the countries' assets was found, which evidences a financial integration the effect of which is the minimisation of the benefits of portfolio diversification for an investor. We hope to continue to apply new methodologies related to integrated markets considering the fundamental variables affecting the results.spa
dc.descriptionEste trabalho analisa os fatores em comum dos mercados acionários dos países pertencentes ao Mercado Integrado Latino-americano, MILA: o Chile, a Colômbia e o Peru, com o objetivo de explorar a existência de uma possível integração financeira que afete os benefícios de diversificação para os investidores. Para isso, pesquisa-se sobre os rendimentos históricos diá- rios das quinze ações mais negociadas em cada um deles, no período entre janeiro de 2009 e junho de 2012, sobre os quais se realizam duas avaliações: primeiro, obtémse o portfólio ótimo em cada país e outro do mercado em conjunto; e segundo, mediante análise dos componentes principais em cada país, determina-se o número de fatores de risco compartidos e a incidência de cada país em sua variação. Encontramos alta correlação entre os ativos dos países, o que evidencia uma integração financeira que repercute em que os benefícios de uma diversificação de portfólios para um investidor estão a minimizar-se. Espera-se continuar com a aplicação de metodologias inovadoras relacionadas com os mercados integrados levando em conta variáveis fundamentais que incidirem nos resultados.spa
dc.language.isospa
dc.publisherPontificia Universidad Javerianaspa
dc.relation.isversionofhttp://revistas.javeriana.edu.co/index.php/cuacont/article/view/6067spa
dc.sourceCuadernos de Contabilidadspa
dc.subjectHarry Markowitzspa
dc.subjectDiversificaciónspa
dc.subjectAnálisis de componentes principalesspa
dc.subjectIntegración de mercados de capitalesspa
dc.subjectMarkowitz, Harry, 1927spa
dc.subjectaccionesspa
dc.subjectactivos (Contabilidad)spa
dc.subjectAnálisis de costosspa
dc.subjectportafolio de inversionesspa
dc.subjectHarry Markowitzspa
dc.subjectDiversificationspa
dc.subjectPrincipal Component Analysisspa
dc.subjectIntegration of Stock Marketsspa
dc.subjectMarkowitz, Harry, 1927spa
dc.subjectActionsspa
dc.subjectAssets (Accounting)spa
dc.subjectCost Analysisspa
dc.subjectinvestments portfoliospa
dc.subjectHarry Markowitzspa
dc.subjectDiversificaçãospa
dc.subjectAnálise de componentes principaisspa
dc.subjectIntegração de mercados de capitaisspa
dc.subjectMarkowitz, Harry, 1927spa
dc.subjectAçãospa
dc.subjectAtivo (Contabilidade)spa
dc.subjectAnálise de custosspa
dc.subjectInvestimento em carteira.spa
dc.titleMercado Integrado Latinoamericano (MILA): análisis de correlación y diversificación de los portafolios de acciones de los tres países miembros en el período 2007-2012spa
dc.titleLatin American Integrated Market (MILA): A Correlation and Diversification Analysis of the Stock Portfolios of the Three Member Countries in the Period 2007-2012spa
dc.titleMercado Integrado Latino-americano (MILA): análise de correlação e diversificação dos portfólios de ações dos três países membros no período 2007-2012spa
dc.typeArticleeng
dc.rights.accessrightsinfo:eu-repo/semantics/openAccess
dc.rights.accessrightsinfo:eu-repo/semantics/openAccess
dc.publisher.programIngeniería Financieraspa
dc.identifier.doiSICI: 0123-1472(201301)14:342.0.TX;2-N
dc.publisher.facultyFacultad de Ingenieríasspa
dc.creator.affiliationRomero-Álvarez, Yaneth Patricia; Institución Universitaria CEIPAspa
dc.creator.affiliationRamírez-Atehortúa, Fabián Hernando; Universidad de medellínspa
dc.creator.affiliationGuzmán-Aguilar, Diana Sirley; Universidad de Medellínspa
dc.relation.ispartofesCuadernos de Contabilidad. Vol.14. No.34, pp. 53-74spa
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dc.type.driverinfo:eu-repo/semantics/article


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