Resumo

RODRIGUEZ BENAVIDES, Domingo; LOPEZ HERRERA, Francisco  e  SANCHEZ VARGAS, Armando. Returns in the Mexican stock market and the shocks of the international oil price. Estud. Econ. (México, D.F.) [online]. 2021, vol.36, n.2, pp.399-428.  Epub 21-Fev-2022. ISSN 0186-7202.  https://doi.org/10.24201/ee.v36i2.424.

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.

Palavras-chave : Precios accionarios; modelos GARCH con saltos; precios petroleros; G12; G15; Q43.

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