Metal Returns, Stock Returns and Stock Market Volatility

Mauricio Zeballos and Carlos del Carpio
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Mauricio Zeballos: Department of Statistics, University of Campinas, Brazil
Authors registered in the RePEc Author Service: Mauricio Zevallos

Revista Economía, 2015, vol. 38, issue 75, 101-122

Abstract: Given the extensive participation of mining stocks in the Peruvian stock market, the Lima Stock Exchange (BVL) provides an ideal setting for exploring both the impact of metal returns on mining stock returns and stock market volatility, and the comovements between mining stock returns and metal returns. This research is a first attempt to explore these issues using international metal prices and the prices of the most important mining stocks on the BVL and the IGBVL index. To achieve this, we use univariate GARCH models to model individual volatilities, and the Exponentially Weighted Moving Average (EWMA) method and multivariate GARCH models with time-varying correlations to model comovements in returns. We found that Peruvian mining stock volatilities mimic the behavior of metal volatilities and that there are important correlation levels between metals and mining stock returns. In addition, we found time-varying correlations with distinctive behavior in different periods, with rises potentially related to international and local historical events.

Keywords: Comovements; Peruvian stock market. (search for similar items in EconPapers)
JEL-codes: C22 C58 G15 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:pcp:pucrev:y:2015:i:75:p:101-122

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