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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: 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. Resumen 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.

Date: 2012-10
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