Roberto J Santillán–Salgado

Roberto J Santillán–Salgado
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Roberto verified their affiliation via an institutional email.
Tecnológico de Monterrey | ITESM

Ph.D.

About

102
Publications
44,602
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334
Citations
Introduction
Financial Economics, Corporate Finance, International Finance, Economics Econometrics Commodities prices, oil prices, economic activity, pollution
Additional affiliations
September 1997 - present
Tecnológico de Monterrey
Position
  • Professor (Full)
Description
  • Professor of Finance and Researcher
August 2004 - July 2005
École Supérieure de Commerce
Position
  • Professor
September 1997 - present
Tecnológico de Monterrey
Position
  • Full Professor of Finance
Description
  • Former Director of the Master's in Finance Program and of the Finance Department at EGADE Business School. Currently Researcher and Full Professor of Finance.

Publications

Publications (102)
Article
Full-text available
This article examines the impact over time of the government’s primary balance, remittances, foreign direct investment expectations, and real interest rates on the Mexican peso to US dollar exchange rate between 2003 and 2023, using monthly and quarterly data. An autoregressive distributed lag model with bounds testing and a Granger non-causality t...
Article
Full-text available
This paper analyzes the evolution of labor productivity among the Eurozone’s member countries between 1999 and 2019, using a dynamic panel estimate. The main findings indicate that, since the adoption of the single currency in 1999, both productivity per worker and productivity per hour followed different routes among Eurozone countries. Convergenc...
Article
Full-text available
In the broader landscape of cryptocurrency risk management, this study delves into the nuanced estimation of Value-at-Risk (VaR) for a uniformly weighted portfolio of cryptocurrencies, employing the bivariate Normal Inverse Gaussian distribution renowned for its semi-heavy tails. Utilizing high-frequency data spanning between 1 January 2017 and 25...
Preprint
Full-text available
In the broader landscape of cryptocurrency risk management, this study delves into the nuanced estimation of Value at Risk (VaR) for a uniformly weighted portfolio of cryptocurrencies, employing the bivariate Normal Inverse Gaussian distribution renowned for its semi-heavy tails. Utilizing high-frequency data spanning from January 1st, 2017, to Oct...
Article
Full-text available
The objective of this work is to examine the Day-of-the-Week anomaly from the perspective of the Adaptive Markets Hypothesis for the stock market indices of Argentina, Brazil, Chile, Colombia, Mexico, and Peru in different subperiods and under different market conditions. The Autoregressive-Moving-Average, Generalized-Autoregressive-Conditional-Het...
Article
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This paper reports our findings on the return dynamics of Bitcoin and Ethereum using high-frequency data (minute-by-minute observations) from 2015 to 2022 for Bitcoin and from 2016 to 2022 for Ethereum. The main objective of modeling these two series was to obtain a dynamic estimation of risk premium with the intention of characterizing its behavio...
Article
Full-text available
This study analyzes the relationship of firm-level ESG scores and stock returns from a worldwide database for the automotive industry. It measures the significance of the ESG and CFP relationship during the last decade, and includes a comparison of those firms with different levels of ESG scores, as well as between firms with ESG scores and to firm...
Article
Full-text available
Financial economic research has extensively documented the fact that the impact of the arrival of negative news on stock prices is more intense than that of the arrival of positive news. The authors of the present study followed an innovative approach based on the utilization of two artificial intelligence algorithms to test that asymmetric respons...
Article
Full-text available
This research examines the presence of the Day-of-the-Week (DOW) and Holiday Effect (HE) anomalies on the Mexican Stock Exchange's (MSE) Índice de Precios y Cotizaciones-Price and Quotation Index-(IPC), as well as on the Large, Medium and Small Capitalization subindices of the same market. The empirical estimation was performed with GARCH family mo...
Article
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El objetivo es analizar relaciones de dependencia dinámica en el riesgo-país del sudeste asiático, reconociendo un comportamiento no-lineal, con dependencia asintótica y valores extremos. El método de investigación emplea el enfoque de cópulas para estudiar los índices de bonos de mercados emergentes (EMBI, por sus siglas en inglés emerging market...
Article
Full-text available
We estimated the stock market risk premium during the COVID-19 pandemic with a GARCH-in-Mean (GARCH-M)(1,1) model. The analysis then explored the presence of regime changes using a two-regime Markov-Switching GARCH (MS GARCH)(1,1) model. The sample we used included the stock market indexes of nine countries from three geographical regions, includin...
Article
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This paper aims to demonstrate the profitability of technical analysis indicators over buy and hold strategy with 3 of the most popular Exchange Traded Funds: SPY (SPDR S&P 500), DUST (Direxion Daily Gold Miners Index Bear 2x Shares) and EDZ (Emerging Markets Direxion Daily MSCI Emerging Markets Bear 3X Shares). A Binary Trading System is proposed...
Article
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This work compares the technical efficiency of a global sample of private and publicly listed Microfinance Institutions (MFIs), and publicly listed commercial banks of a similar scale and geographical location. Two important research questions are addressed. The first one is: are public MFIs more efficient than nonpublic MFIs?; and, the second one...
Article
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This paper compares the performance of different hedging strategies using futures contracts on Mexico’s Stock Exchange Index (IPC), traded in the Mexican Derivatives Market (MexDer). The ex-post evaluation of each strategy is made with daily closing prices from December 30th, 1999, through December 30th, 2016. The strategies considered are a) a No-...
Article
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This paper analyzes the relationship between the volatility of oil price and selected sectoral stock returns in Mexico (industrials, materials, financials and consumer discretionary) by implementing a Diagonal VECH-type bivariate GARCH model in order to estimate conditional covariances and correlations. The econometric results suggest that there ex...
Article
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This paper is aimed at examining the relations among CO2 emissions, gross domestic product (GDP) growth, energy consumption, electricity use, urbanization, and income inequality for a sample of 134 countries by using principal components analysis, Granger causality, vector error correction (VEC) models, and panel vector autoregression (PVAR) models...
Article
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Esta investigación tiene como objetivo estudiar las interacciones dinámicas de largo plazo entre los cambios en las emisiones de CO2, el crecimiento económico, los cambios en el uso de energía y electricidad, y los cambios de la población rural a la urbana en América Latina (AL) durante el período 1990-2014. Un enfoque de datos panel VEC (VAR) con...
Article
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p>Este trabajo examina los efectos de corto y mediano plazo de las fluctuaciones de los precios internacionales de varios productos minerales (oro, plata, cobre, zinc) y metalúrgicos (aluminio, acero) sobre la estructura de capital de las empresas de la industria minera y metalúrgica listadas en los mercados bursátiles de Argentina, Brasil, México...
Chapter
Full-text available
Several Latin American countries reformed their retirement-pension systems during the 1980s and 1990s because the previous funded or pay-as-you-go systems were deemed insufficient to support the rapidly growing aging populations. Mexico was no exception, and in 1997 it replaced its traditional pay-as-you-go system with a privately managed scheme, i...
Article
This paper investigates the changes in corporate investment dynamics in the aftermath of the Global Financial Crisis. Using firm‐level data from six Latin American countries during the period 2002‐2015, we show that firms are less constrained and have greater ability to invest after the crisis. However, the willingness of firms to invest optimally...
Article
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Abstract Nowadays, the average Mexican pension saver makes a noisy and uninformed investment decision of its Public pension fund (AFORE). This is due to AFORE’s marketing efforts or back-to-back activities. In the present paper, we propose the use of Markov-Switching models, in order to measure the AFORE performance in normal (crisis) or low (high...
Article
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This paper examines the “day-of-the-week” anomaly in the foreign exchange market of six major Latin American countries’ currencies: (Argentina, Brazil, Chile, Colombia, Mexico, and Peru), all with respect to the United States’ dollar. The returns of daily exchange rates are stationary, so we use linear regressions combined with GARCH, TARCH and EGA...
Article
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This paper is aimed at examining the association between energy prices and financial variables, but, in contrast to previous works, it explores the possibility of a reverse causality from financial variables towards energy prices from a global perspective considering the world’s four largest world economic poles (the United States, China, the Europ...
Article
Full-text available
The purpose of this work is to extend McNeil and Frey´s (2000) methodology by combining two component GARCH models and extreme value theory to evaluate the performance of the Value at Risk (VaR) and Expected Shortfall (ES) measures in the Latin American stock markets. In-sample analysis, the results of the backtesting indicate that there is no a mo...
Article
This paper studies the stochastic relationship among six Latin American countries' international bond issue risk premium. The analysis exploits a novel Corporate Emerging Markets Bond Indices (CEMBIs) database processed with a VAR-CCC model to clarify the nature of such relationships, and makes an objective interpretation of their characteristics....
Article
Full-text available
This work measures the sensitivity of the residual volatility of the risk premiums of various Real Estate Investment Trusts (REITs) sectors to systemically important economic events between January 2, 1985, and December 30, 2016. To this end, the residual yields of the REITs are calculated and, with them, a GARCH (1,1) model is estimated, with dumm...
Article
This paper studies the stochastic relationship among six Latin American countries’ international bond issue risk premium. The analysis exploits a novel Corporate Emerging Markets Bond Indices (CEMBIs) database processed with a VAR-CCC model to clarify the nature of such relationships, and makes an objective interpretation of their characteristics....
Article
We study the exchange rate exposure of 776 listed Latin American firms from Argentina, Brazil, Chile, Colombia, Mexico and Peru, during 2009-2016. Regressing stock returns with domestic exchange rate changes and stock market returns as explanatory and control variables, respectively, and correcting for Classical Linear Regression assumptions violat...
Article
Full-text available
The intensity and speed with which the effects of monetary and fiscal policies are transmitted from one financial market to another is of paramount importance to calibrate with precision the decisions of the corresponding authorities. Similarly, the transmission of the effects caused by unexpected shocks in one market and their impact on the behavi...
Article
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This paper estimates the impact of capital structure changes on the market value of a sample of 69 non-financial firms listed in the Mexican Stock Exchange, during the period 2004 to 2014. Using Pooled Ordinary Least Squares (OLS), Fixed Effects (FE) and Random Effects (RE) regressions, we confirm the extensively documented positive influence of le...
Article
Full-text available
The aim of this paper is to assess the impact of the stock market on the consumption of electric power in the major economies of Latin America during the period 1995-2014. To do this, a dynamic panel data model is estimated through the generalized method of moments. The main empirical finding is that electric power consumption is positively affecte...
Article
Full-text available
La intensidad y velocidad con la cual se transmiten los efectos de la política monetaria y fiscal de un mercado financiero a otro es de primordial importancia para calibrar con precisión las decisiones de las autoridades responsables. De manera similar, los efectos provocados por shocks inesperados en un merca¬do sobre el comportamiento de los prec...
Article
Full-text available
This article investigates how the results of the electoral polls and the registration of electronic bets on the outcome of the 2016 Presidential election of the United States explain the stock market performance and the currency exchange rates for Canada and Mexico, the other two member countries of NAFTA. Although the Canadian and Mexican economie...
Chapter
Full-text available
En este capítulo se presentan los resultados del estudio ante un sobresaliente interés por la calidad del gasto público, surgiendo también un marcado énfasis a los resultados obtenidos en las discusiones sobre el desarrollo y el buen gobierno. La preocupación acerca de cómo se lleva a cabo la gestión del sector público está relacionada cada vez más...
Chapter
In this work we discuss econometric evidence on four major issues that relate to the six largest Latin American economies (Argentina, Brazil, Chile, Colombia, Mexico, and Peru) during the two consecutive international financial crises between 2008 and 2012. Our first concern has to do with the mechanism of transmission of the international financia...
Article
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This paper proposes a twist to the classical Markowitz approach to build efficient portfolios of risky assets that improves their risk-return performance. The originality of our approach consists in the utilization of a covariance matrix from a member of the Generalized Hyperbolic (GH) Family distribution, instead of the sample covariance matrix de...
Article
Full-text available
This paper studies how sensitive are the stock market returns of Argentina, Brazil, Chile, Colombia, Mexico, and Peru to international oil price fluctuations (West Texas Intermediate). A panel data analysis with a random effects model, using the world stock market index Morgan Stanley Capital International World Index, domestic money market rates,...
Chapter
The unexpected Eurozone Sovereign Debt Crisis (2010–2012) aroused different attempts of interpretation among analysts and practitioners. While some attributed the crisis to a “contagion” effect of the Subprime Mortgages Financial Crisis in the United States (2007–2009), others saw in it an expression of deeper fundamental economic imbalances. This...
Book
This book offers a critical perspective from which to observe evolution of the Euro Area and the European Union in these times of growing economic and political conflict. Key implications of design failures in the Euro Area (i.e. incorrect diagnostics of the public finance crisis, single monetary policy failure, heterogeneous macroeconomic environm...
Article
According to conventional portfolio theory, an increase in the interconnectedness of international financial markets may reduce the potential for constructing diversified portfolios. This paper explores the implications of the creation of the Latin American Integrated Market (MILA)¹¹ “MILA” stands for “Mercado Integrado Latino Americano”. It consis...
Article
Full-text available
Este trabajo examina los efectos de corto y mediano plazo de las fluctuaciones de los precios internacionales de varios productos minerales (oro, plata, cobre, cinc) y metalúrgicos (aluminio, acero) sobre la estructura de capital de las empresas de la industria minera y metalúrgica listadas en los índices bursátiles de Argentina, Brasil, México y P...
Article
Full-text available
The Investment Funds Specialized in Retirement Savings in Mexico (Sociedades de Inversión de los Fondos de Ahorro para el Retiro, known as SIEFORES) are quoted daily in the Mexican Stock Exchange (Bolsa Mexicana de Valores). This paper analyzes the behavior of returns and volatility of SIEFORES. The econometric evidence suggests the presence of fra...
Article
Full-text available
This paper analyzes the returns and variance behavior of the largest specialized private pension investment funds index in Mexico, the SIEFORE Básica 1 (or, SB1). The analysis was carried out with time series techniques to model the returns and volatility of the SB1, using publicly available historical data for SB1. Like many standard financial tim...
Article
Full-text available
This paper examines the relationships among government bonds markets, represented by EMBI returns for six Latin American markets: Argentina, Brazil, Chile, Colombia, Mexico and Peru. It applies a bivariate copula approach that identifies by pairs of markets the importance of that relationship. The sample data includes EMBI information about the six...
Article
Full-text available
El objetivo principal de este trabajo es determinar si existe una relación de convergencia de largo plazo entre los cuatro mayores mercados bursátiles de Europa continental y evaluar, al mismo tiempo, el impacto que la volatilidad en uno de ellos tiene sobre el resto. La muestra incluye los mercados de París, Frankfurt, Milán, y Madrid, durante un...
Article
Full-text available
This paper presents a statistical analysis of the characteristics of the entrepreneur supported by the Private Equity/Venture Capital Funds in Mexico, and it uses the data gathered by a national survey answered by such funds. The contribution of this work consists in the use of Conglomerate Analysis on the theoretical constructs identified by the l...
Research
Full-text available
Se estudian las composiciones variantes en el tiempo del portafolio de tangencia formado por los mercados del Nafta
Article
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This paper studies the integration of the Mexican Stock Exchange (MSE) into the World Capital Market (WCM). We detect a long-run equilibrium relationship, despite the effects of structural breaks associated to different financial crises during our period of analysis (1987-2012). The analytical approach begins with the estimation of a bivariate VECM...
Article
Full-text available
Extreme volatility and high uncertainty characterized European financial markets between 2010-2012. In addition to the “financial contagion” effects of the 2007-2009 Subprime Mortgages crisis, the European financial markets’ turbulence was also related to a more fundamentally economic reality: structural heterogeneity among the Eurozone countries w...
Article
The enforcement of new regulations has traditionally been the governments’ strategy to respond to episodes of financial stability. That was the case in, for example, the United States after the market crash that detonated the 1930s “Great Depression”2, with the Glass-Steagall Act, which separated commercial banks from investment banks to eliminate...
Article
Full-text available
In this paper, we discuss the quality of different hedging strategies that use the Mexican Stock Market Index Futures, traded in the Mexican Derivatives Market (MexDer) contract to minimize the impact of stock price fluctuations on the value of a diversified portfolio, for a period from January 3, 2000, through November 11, 2014. We review six poss...
Article
Full-text available
The Investment Funds Specialized in Retirement Pensions in Mexico (Sociedades de Inversión de los Fondos de Ahorro para el Retiro, known as SIEFORES) are quoted daily in the Mexican Stock Exchange (Bolsa Mexicana de Valores). This paper analyzes the behavior of their returns and their volatility. It finds evidence of fractional integration, which s...
Article
Full-text available
This paper presents a statistical analysis of the characteristics of the entrepreneur su- pported by the Private Equity/Venture Capital Funds in Mexico, and it uses the data gathe- red by a national survey answered by such funds. The contribution of this work consists in the use of Conglomerate Analysis on the theoretical constructs identified by t...
Article
Full-text available
This paper is aimed at assessing the impact of oil prices on the GDP growth rate of a sample of net oil exporting Latin American countries during the period 1990-2014. The obtained empirical results from pooled regression and panel data analysis allowing for idiosyncratic differences among the observation units (countries) suggests that the relativ...
Article
Extreme volatility and high uncertainty characterized European financial markets between 2010-2012. In addition to the "financial contagion" effects of the 2007-2009 Subprime Mortgages crisis, the European financial markets’ turbulence was also related to a more fundamentally economic reality: structural heterogeneity among the Eurozone countries w...
Article
Full-text available
We estimate the long-run relationships among NAFTA capital market returns and then calculate the weights of a “time-varying minimum variance portfolio” that includes the Canadian, Mexican, and USA capital markets between March 2007 and March 2009, a period of intense turbulence in international markets. Our results suggest that the behavior of NAFT...
Article
Full-text available
Regime Switches in the Tangency Portfolio of NAFTA Markets During the Financial Crisis Francisco López-Herrera, Roberto J. Santillán-Salgado, Edgar Ortiz, Fcpys-Unam Abstract We study the composition of a Conditional Tangency Portfolio built with the Mexican Stock Exchange Index, the Canadian Stock Exchange Index, and the US Stock Exchange Index u...
Article
Throughout the 1990s and well into the first half of the new century, there was intense activity in Mergers and Acquisitions (M&As) in the commercial banking industry of Western Europe. The frequency of M&As diminished when the 2007–2009 financial crisis hit the markets. One of the last of these activities that took place before the full explosion...
Book
Full-text available
The European Monetary Union is characterized by a crisis of governance, this has become more evident with the crisis of the euro which has shown the weaknesses of the European institutions and stressed the heterogeneity of member countries. The global financial crisis struck the euro area very severely because it coincided with the lack of appropri...
Chapter
This paper presents an analysis of the impact of Foreign Portfolio Investments on the returns of a sample of Mexican stocks. Using regression analysis for monthly observations from January 2003 through July 2009, it estimates how much of the individual stock returns' volatility may be explained by Foreign Portfolio Investment monthly changes. To co...
Conference Paper
Los Fondos de Capital Privado y Emprendedor continuamente están en la búsqueda de proyectos de inversión con características particulares. Una de ellas es el perfil del emprendedor. En otros países se han realizado estudios sobre el tema (Bruton et al., 2009), pero en México todavía no se había realizado un estudio con esa orientación. El presente...
Article
Recently, the discipline of Credit Risk Management has attracted the attention of numerous research works. Frequently, it is considered a “frontier” topic in finance, as it was some years ago the relationship between the required rate of return and the risk of an investment. The explanation of why it has grown in popularity has to do with the urgen...
Article
Full-text available
This paper studies the recent evolution of market efficiency in the Mexican Stock Exchange by testing the hypothesis that stock prices have become "more efficient" through time. This is done by observing the evolution of the coefficients of the regressions between individual stocks returns and a market proxy sample portfolio. The sample of shares w...
Article
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The origins of the world-wide distributed Offshore Financial Centers are related to the surge of the Eurocurrency markets during the 1950s and 1960s. After a first stage of rapid expansion, many of those OFCs reached a consolidation stage and remained, even after most of the original drivers for their creation were no longer present. Their insertio...