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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 de Estudios Superiores de Monterrey
Rocío Durán Vázquez: Universidad de las Américas Puebla
Leticia Armenta Fraire: Instituto Tecnológico de Estudios Superiores de Monterrey CCM

Remef - The Mexican Journal of Economics and Finance, 2012

Abstract: In 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.

Date: 2012-10
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