Miedo e incertidumbre en las principales acciones del S&P500

Abstract

Fear and Uncertainty in the Principal Stocks of the S&P500

This research analyzes the relationships between the returns of the S&P500 shares and financial behavior indicators such as the Volatility Index (VIX) and the Black Swan Index (SKEW). The method used is Structural Equations and Partial Least Squares (PLS-SEM). The results show that the VIX explains more than the SKEW and that the sectors most sensitive to fear are Electronic-Technological, Energy and Health. As a recommendation, the use of the VIX is prioritized over SKEW since it was statistically significant only in the Electronic-Technological construct when using this methodology; likewise, the analysis is limited to a set of 23 companies, 8 sectorial constructs and a period from 2013 to April 2022. The originality of this is work is found in the use of PLS-SEM for behavioral financial analysis and the use of stock constructs. This methodology allows to model under an exploratory perspective other type of relationships and variables, as well as to solve problematic statistical assumptions in finance.