Relación entre los índices bursátiles europeos: una nueva perspectiva a partir de los niveles de capitalización

Vítor Gabriel; Helena Saraiva

doi:10.46661/revmetodoscuanteconempresa.2692

Autores/as

Vítor Gabriel UDI - Research Unit for Inland Development Polytechnic Institute of Guarda
Helena Saraiva UDI - Research Unit for Inland Development Polytechnic Institute of Guarda

DOI:

https://doi.org/10.46661/revmetodoscuanteconempresa.2692

Palabras clave:

european stock markets, cap segments, vector autoregressive, cointegration, mercados bursátiles europeos, segmentos de capitalización, vectores autorregresivos, cointegración

Resumen

Este artículo analiza las relaciones y las interdependencias a corto y largo plazo entre los mercados de valores de la eurozona, teniendo en cuenta el nivel de capitalización. De acuerdo con este objetivo, se analizaron cuatro segmentos de capitalización correspondientes a los índices de micro, pequeñas, medianas y grandes capitalizaciones en el período comprendido entre noviembre de 2007 y diciembre de 2013.

Con el fin de identificar la existencia de interdependencias y relaciones a corto plazo entre los índices europeos, se ha recurrido a un vector autorregresivo con mecanismo corrector de errores, al concepto de causalidad de Granger y a funciones de impulso-respuesta. Se concluyó que el índice Large Cap describe movimientos relativamente autónomos y que contiene información que ayuda a explicar los cambios en otros índices.

En cuanto a la existencia de relaciones a largo plazo, se utilizó las habituales pruebas de cointegración, lo que ha permitido entender que el índice para el segmento de las grandes capitalizaciones describe un comportamiento diferente en comparación con los índices de los dos segmentos de capitalización más pequeños. Este resultado es particularmente importante para una posible estrategia de diversificación de la cartera de inversiones en una perspectiva internacional.

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