Resumo

RODRIGUEZ BENAVIDES, Domingo; MARTINEZ GARCIA, Miguel Ángel  e  HOYOS REYES, Luis Fernando. Uncertainty of the international oil price and stock returns in Mexico through an SVAR-MGARCH. Contad. Adm [online]. 2019, vol.64, n.3, e119.  Epub 21-Ago-2020. ISSN 0186-1042.  https://doi.org/10.22201/fca.24488410e.2019.2340.

In this work, the impact of oil price uncertainty on Mexican stock market returns is examined. The uncertainty of the international oil price is approximated through the conditional standard deviation of the error forecast one step ahead of the variation in the oil price. To this end, a SVAR-MGARCH-in-mean model was estimated with monthly data of the international oil price returns and the Mexican Stock Exchange price and quotation index, both in real terms from January 1975 to September 2018, with the main advantage being that it allows the simultaneous estimation of both the mean and the uncertainty. The results reveal that the uncertainty of the international oil price does not have an immediate impact on stock market returns. However, the results show the presence of short-term asymmetric effects in the face of negative and positive shocks in the international oil price.

Palavras-chave : C32; G10; G15; Q43; Oil Prices; Stock Returns; Volatility; GARCH Models; Energy; Emerging Markets.

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