Resumen en español

Since the middle of 2010 meetings were held regarding the creation of a new market that involved and integrates three major Latin American economies with the objective to facilitate trading between these three countries and in order to generate opportunities to invest in a wider market and to stimulate investment in emerging economies. This development justifies the proposal of an index which reflects the movement of price of the most representative stocks that are traded in the new MILA (Mercado Integrado Latinoamericano) market. This article is a result of thesis which was developed during the second half of 2011 at the undergraduate level and that proposes the development of a stock market index called "MILCA P". The proposal is presented in three parts. The markets of the three countries that participate in MILA are analized, the concepts to build an undex are analized and some of the existing indexes, that serve as a reference described. The methodologies for the construction of the porposed index are outlined, as well as the parameters and variables that are used in its construction. the index is constructed by using historical data that start from the first of June 2006, from a baseline of a 1000 points, and that comprise a period of five years, taking into account each date for rebalancing and for the selection of the stock basket. Finally, the validation and the obtained results for the proposed index are presented.