Returns in the Mexican stock market and the shocks of the international oil price
DOI:
https://doi.org/10.24201/ee.v36i2.424Keywords:
Stock prices, oil prices, GARCH models with jumpsAbstract
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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