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Impact of Macroeconomic Surprises from Mexico and the United States on the Mexican Stock Market

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  • Rodolfo Cermeño Bazán

    ()
    (Profesor-investigador, División de Economía, CIDE. México, D.F. Mexico)

  • M. Pavel Solís Montes

    ()
    (Investigador financiero, Gerencia de Estabilidad Financiera, Dirección de Estabilidad Financiera, Banco de México. México, D.F. Mexico)

Abstract

This paper studies the relationship between the arrival of news on macroeconomic performance and the Mexican stock market. We examine the reaction of daily excess returns of the stock price index, “índice de precios y cotizaciones” (IPC), as well as of seven portfolios from the Mexican stock market, “Bolsa Mexicana de Valores” (BMV), to announcements on macroeconomic variables of Mexico and the US. We use GARCH models and focus on the unexpected or surprising component of the news about macroeconomic performance. The study covers the period 2003-2008. We find that the dynamics of daily returns in the Mexican stock market is linked to the arrival of new information (surprises) on macroeconomic fundamentals of both Mexico and the United States.

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File URL: http://www.economiamexicana.cide.edu/num_anteriores/XXI-1/02_EM_Impacto%20de%20sorpresas(35-67).pdf
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Bibliographic Info

Article provided by in its journal Economia Mexicana NUEVA EPOCA.

Volume (Year): XXI (2012)
Issue (Month): 1 (January-June)
Pages: 35-67

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Handle: RePEc:emc:ecomex:v:21:y:2012:i:1:p:35-67

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Related research

Keywords: GARCH models; systemic risk; information; macroeconomic surprises; Mexican stock market.;

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