Un árbol de expansión mínima en la Bolsa Mexicana de Valores

Linda Margarita Medina Herrera () and Ricardo Mansilla Corona ()
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Linda Margarita Medina Herrera: Tecnológico de Monterrey
Ricardo Mansilla Corona: Universidad Nacional Autónoma de México

Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), 2007, vol. 1, issue 2, 116-124

Abstract: This paper exhibits the economic taxonomy of a minimal spanning tree constructed from the correlation matrix of daily returns of 65 stocks traded at the Bolsa Mexicana de Valores during an eight-year trading period. This paper also makes a classification of the risk and returns of these stocks depending on their distances in the tree to the central vertex (mass center)

Keywords: árbol de expansión mínima; matrices de correlación; análisis de portafolios (search for similar items in EconPapers)
JEL-codes: C49 G11 (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:ega:rafega:200708

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