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


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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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.
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