Rendimiento y volatilidades de los mercados mexicanos bursátil y cambiario

Abstract

(Yield and volatility of Mexican stock and foreign exchange markets)

It analyses the relationship between the yields of the Mexican stock market and the yields (appraisal rate) of the US dollar, as well as the relationship between its volatility. The evidence in this regard, including at the international level, is inconclusive. The analysis is carried out using the coping methodology, which are selected based on the Akaike and Schwarz information criteria. Volatility was estimated by asymmetrical GARCH models with time-variant parameters according to a Markovian change process. Evidence suggests that stock and exchange dynamics are not always associated, but there is an association between stock returns and the appreciation/depreciation of the peso against the dollar and a positive association when volatility is high in both markets. An obvious consequence is that exchange rate risk can be a significant risk to stock trading, as conventional financial theory assumes, so while it is not possible to establish that stock and exchange dynamics are always associated, it is should establish stock investment policies considering such a risk. The originality of the work is that taking into account the presence of non-linearities and absence of normalcy that exist at the extremes of the bivariate distributions of odds of depreciation-stock returns, as well as volatilities (risks) in both markets, using asymmetric copulas, it contributes to the explanation of mixed evidence on the issue of co-integration or long-term relationship (balance in the stable state) between the stock market and exchange.