"¿Son los Índices IPC Mexicano e IBEX35 Español una Adecuada Definición de Cartera de Mercado? Una Revisión de este Supuesto Empleando el Estadístico de Kandel y Stambugh en un Contexto Muestral "

Abstract

The present paper is a review of the study shown in Martínez & De la Torre (2011) applied to the Mexican and Spanish stock market. As an extension to the test performed, a statistic proposed by Kandel & Stambugh (1989) is used in order to incorporate the sample features in the data used, allowing the market portfolio to be “efficient” even if it do not belong to the efficient portfolios set. In order to test this, two discrete event simulations were performed for the IPC and IBEX35 indexes. Even though the results lead to conclude that these market portfolio proxies are financially efficient, the data suggest that further research should be made with more robust statistical tests.