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Rendimientos en el mercado accionario mexicano y los choques del precio internacional del petróleo/Returns in the Mexican stock market and the shocks of the international oil price

Author

Listed:
  • Domingo Rodríguez Benavides

    (Universidad Autónoma Metropolitana)

  • Francisco López Herrera

    (Universidad Nacional Autónoma de México)

  • Armando Sánchez Vargas

    (Universidad Nacional Autónoma de México)

Abstract

En este artículo analizamos la relación entre los choques del precio internacional del petróleo y los rendimientos de la Bolsa Mexicana de Valores mediante un modelo que incluye saltos condicionales para modelar el impacto de eventos o de noticias extremas y su dinámica en los rendimientos. Los resultadosmuestran un efecto positivo y significativo de los choques del precio internacional del petróleo en la rentabilidad delmercado accionario, el cual puede considerarse en la mayor parte del periodo bajo estudio como perteneciente a una economía exportadora de petróleo. Una de las posibles explicaciones radica en el hecho de que mayores precios del petróleo han representado una mayor derrama de recursos para algunos sectores relacionados con las empresas que cotizan en el mercado bursátil y que este impacto es mayor a los costos asociados que dichos incrementos pudieran representar para tales empresas.

Suggested Citation

  • Domingo Rodríguez Benavides & Francisco López Herrera & Armando Sánchez Vargas, 2021. "Rendimientos en el mercado accionario mexicano y los choques del precio internacional del petróleo/Returns in the Mexican stock market and the shocks of the international oil price," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 36(2), pages 399-428.
    • Handle: RePEc:emx:esteco:v:36:y:2021:i:2:p:399-428
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    More about this item

    Keywords

    petróleo; Precios accionarios; precios petroleros; modelos GARCH con saltos;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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