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Effects of implied volatility on companies with greater stock market value in the Mexican stock market

Author

Listed:
  • Fernando José Mariné Osorio

    (Consultor independiente)

  • Juan Carlos Bribiesca Aguirre

    (Grupo Posadas)

Abstract

This paper presents the results of the analysis of the Mexican stock market to find if implicit volatility could be used as a systematic determinant in order to explain the yields of ten of the most representative stocks in the Mexican market. We applied statistical methods and regression techniques to explore if there is any relationship between Mexican VIX or VIMEX and historical returns of the IPC. We observed that there is a negative correlation between implicit volatility and stock returns, and tested if VIMEX could be used as an alternative method to explain systematic risk.

Suggested Citation

  • Fernando José Mariné Osorio & Juan Carlos Bribiesca Aguirre, 2017. "Effects of implied volatility on companies with greater stock market value in the Mexican stock market," The Anahuac Journal, Business and Economics School. Anahuac University (Mexico)., vol. 17(1), pages 69-100, June.
    • Handle: RePEc:amj:journl:v:17:y:2017:i:1:p:69-100
    DOI: 10.36105/theanahuacjour.2017v17n1.03
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    More about this item

    Keywords

    Mexican VIX; VIMEX; INMEX; behavioral factors; risk premia; market efficiency; mexican stock market; implicit volatility; derivatives.;
    All these keywords.

    JEL classification:

    • M21 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics - - - Business Economics
    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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