Analysis of Fuzzy Beta Coefficients. Evidence from the Mexican Stock Market

摘要

This paper represents a contribution to the empirical literature on systematic risk at a sectoral level in an emerging market, the Mexican Stock Market, incorporating all the available information of the different asset quoted prices for the beta calculation. We estimate the fuzzy beta coefficients for individual stocks as well as for sectoral indices comparing the results with OLS beta coefficients. Then, we contrast if the fuzzy estimations verify two hypothesis of the traditional portfolio theory, specifically those related to the influence of the number of stocks and the length of estimation period over beta stability. The methodology used to calculate the fuzzy beta coefficients is the fuzzy linear regression. The results suggest that, in the Mexican Stock Market, hypotheses of the portfolio theory are also verified when the return of the portfolio is considered as an uncertain data.