Returns in the Mexican stock market and the shocks of the international oil price

  • Domingo Rodríguez Benavides Universidad Autónoma Metropolitana
  • Francisco López Herrera Universidad Nacional Autónoma de México
  • Armando Sánchez Vargas Universidad Nacional Autónoma de México
Keywords: Stock prices, oil prices, GARCH models with jumps
JEL Classification: G12, G15, Q43

Abstract

We analyze the impact of shocks from the international oil price on the Mexican Stock Exchange’s returns in the presence of conditional jumps attributable to extraordinary events. We find a positive and significant effect from the shocks in the international oil price, a result that is consistent with that of an oil-exporting economy. This can be attributed to higher oil prices representing a greater spillover of resources for some sectors related to companies listed on the stock market. This impact is greater than the associated costs that such increases could represent.

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Published
08-10-2021
How to Cite
Rodríguez BenavidesD., López HerreraF., & Sánchez VargasA. (2021). Returns in the Mexican stock market and the shocks of the international oil price. Estudios Económicos, 36(2), 399-428. https://doi.org/10.24201/ee.v36i2.424
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