Effects of implied volatility on companies with greater stock market value in the Mexican stock market

Fernardo Mariné () and Juan Bribiesca ()
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Fernardo Mariné: Consultor independiente
Juan Bribiesca: Grupo Posadas

The Anahuac Journal, 2017, vol. 17, issue 1, 69-100

Abstract: This paper presents the results of the analysis of the Mexican stock market to find if implicit volatility could be used as a systematic determinant in order to explain the yields of ten of the most representative stocks in the Mexican market. We applied statistical methods and regression techniques to explore if there is any relationship between Mexican VIX or VIMEX and historical returns of the IPC. We observed that there is a negative correlation between implicit volatility and stock returns, and tested if VIMEX could be used as an alternative method to explain systematic risk.

Keywords: Mexican VIX; VIMEX; INMEX; behavioral factors; risk premia; market efficiency; mexican stock market; implicit volatility; derivatives. (search for similar items in EconPapers)
JEL-codes: C23 C50 G02 G12 M21 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:amj:journl:v:17:y:2017:i:1:p:69-100

DOI: 10.36105/theanahuacjour.2017v17n1.03

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