Conditional Correlation Between Oil and Stock Market Returns: The Case of Mexico

Arturo Lorenzo Valdés, Rocío Durán Vázquez and Leticia Armenta Fraire
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Arturo Lorenzo Valdés: Instituto Tecnológico y de Estudios Superiores de Monterrey, Campus Ciudad de México
Rocío Durán Vázquez: Universidad de las Américas Puebla
Leticia Armenta Fraire: Instituto Tecnológico y de Estudios Superiores de Monterrey, Campus Ciudad de México

Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), 2012, vol. 7, issue 1, 49-63

Abstract: En este estudio se analiza la relación entre el precio del petróleo (bajo la referencia del Precio Brent) y la rentabilidad de las empresas que cotizan en la Bolsa Mexicana de Valores. El periodo de análisis fue semanal de 2006 a 2010 (siendo 208 observaciones). Se encontró correlación positiva condicional utilizando un modelo de BEKK. Se presentan gráficas del comportamiento de cada empresa y el precio del petróleo. JEL Classification: C13, F37, O16 Keywords: Financial markets, Oil price, BEKK modelIn this study we analyze the relationship between the Oil price (under de Brent reference) and the returns of the companies listed on the Mexican Stock Market. The period of analysis was for 208 weeks of information from 2006 to 2010. We found positive conditional correlation using a BEKK model. And we provide graphical evidence of each company and the Oil price.

Keywords: Financial markets; Oil price; BEKK model (search for similar items in EconPapers)
JEL-codes: C13 F37 O16 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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