Journal: | Computación y sistemas |
Database: | |
System number: | 000560399 |
ISSN: | 1405-5546 |
Authors: | Ladrón de Guevara Cortés, Rogelio1 Torra Porras, Salvador2 Monte Moreno, Enric3 |
Institutions: | 1Universidad Veracruzana, Institute for Research and Graduate Studies in Administrative Sciences, México 2Universitat de Barcelona, Faculty of Economics and Business, Cataluña. España 3Polytechnic University of Catalonia, Barcelona School of Telecommunications Engineering, España |
Year: | 2018 |
Season: | Oct-Dic |
Volumen: | 22 |
Number: | 4 |
Pages: | 1049-1064 |
Country: | México |
Language: | Inglés |
English abstract | Regarding the problems related to multivariate non-Gaussianity of financial time series, i.e., unreliable results in extraction of underlying risk factors -via Principal Component Analysis or Factor Analysis-, we use Independent Component Analysis (ICA) to estimate the pervasive risk factors that explain the returns on stocks in the Mexican Stock Exchange. The extracted systematic risk factors are considered within a statistical definition of the Arbitrage Pricing Theory (APT), which is tested by means of a two-stage econometric methodology. Using the extracted factors, we find evidence of a suitable estimation via ICA and some results in favor of the APT. |
Keyword: | Extraction techniques, Underlying risk factors, Independent component analysis, Arbitrage pricing theory, Mexican stock exchange |
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