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

Authors

  • 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

DOI:

https://doi.org/10.21919/remef.v7i1.28

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. 

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Published

2017-05-23

Issue

Vol. 7 No. 1: Enero - Junio 2012

Section

Research and Review Articles

License

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Licencia de Creative Commons
Este obra está bajo una licencia de Creative Commons Reconocimiento-NoComercial 4.0 Internacional.

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