Journal of Statistics: Advances in Theory and ApplicationsAuthor's: Denise Gómez-Hernández, Humberto Banda-Ortiz and Ignacio Almaraz-Rodríguez
Pages: [1] - [16]
Received Date: December 3, 2015
Submitted by:
DOI: http://dx.doi.org/10.18642/jsata_7100121593
The aim of this work is to perform a statistical analysis of the Siefores’ (investment companies specialized in retirement savings funds in Mexico) historical prices with emphasis on determining whether there have been structural changes on yields through the time. The methodology followed in order to find the results is to perform a quantitative analysis using statistical tools, based on an analysis of historical data of the Siefores’ prices from 1997 to 2015. Hence, the analysis consists of (1) to identify extreme values on a total of 4 Siefores’ yields and per Afore (retirement savings fund managers), (2) to identify the dates where these extreme values occurred and to analyse coincidences on dates for all the Siefores and Afores, (3) to determine whether changes on the Siefores’ investment portfolios occurred on these dates, (4) to define segments based on the dates defined previously, (5) to perform the so called “Chow hypothesis testing” in order to conclude whether there is a structural change on the Siefores’ yields. The results are that there is a structural change on the Siefores’ yields and that these have contributed to the decrease on the portfolios returns.
pensions, yields, linear regression, Chow test.
