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Economía: teoría y práctica
versão On-line ISSN 2448-7481versão impressa ISSN 0188-3380
Resumo
RODRIGUEZ BENAVIDES, Domingo e MORALES CASTRO, Arturo. Rendimientos del mercado accionario y depreciaciones cambiarias en México: 1988-2007. Econ: teor. práct [online]. 2008, n.28, pp.91-112. ISSN 2448-7481.
Knowing the form in which the financial markets are related is of great importance nowadays, specially due to the fact that these relationships are crucial in the transmission or propagation of the financial crises. The purpose of this paper is to investigate if monetary depreciation affects in the mean or the variance of stock market returns or both, using the methodology proposed by Siourounis (2004), which is the estimation of a GARCH model with a exogenous variable. Empiric evidence was found that lesser the magnitude of monetary depreciation, this impacts only on the mean returns not in its volatility, by contrary, greater the exchange rate depreciation, this impacts on volatility of the stock market and not in its mean returns.
Palavras-chave : stock returns; exchange rate depreciation; GARCH models.