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Rendimientos del mercado accionario y depreciaciones cambiarias en México: 1988-2007

Author

Listed:
  • Domingo Rodríguez Benavides

    (Facultad de Economía, UNAM)

  • Arturo Morales Castro

    (Facultad de Contaduría y Administración, UNAM)

Abstract

Conocer la forma en que los mercados financieros están relacionados es de suma importancia en la actualidad, en especial debido a que estas interrelaciones son decisivas en la transmisión o propagación de las crisis financieras. El propósito de este trabajo es investigar si las depreciaciones cambiarias inciden tanto en la media como en la varianza de los rendimientos accionarios, o en ambas. Para tal fin, empleamos la metodología propuesta por Siourounis (2004), la cual consiste en estimar un modelo garch con una variable exógena. Se encuentra evidencia empírica de que entre menor sea la magnitud de la depreciación cambiaria ésta sólo incide en la media de los rendimientos y no en su volatilidad; por el contrario, entre mayor sea la depreciación del tipo de cambio ésta impactará en la volatilidad del mercado accionario y no en los rendimientos promedio.

Suggested Citation

  • Domingo Rodríguez Benavides & Arturo Morales Castro, 2008. "Rendimientos del mercado accionario y depreciaciones cambiarias en México: 1988-2007," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, vol. 28(1), pages 89-110, Enero-Jun.
    • Handle: RePEc:ety:journl:v:28:y:2008:i:1:p:89-110
    DOI: 10.24275/ETYPUAM/NE/282008/RodriguezBenavides
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    Keywords

    rendimientos accionarios; depreciaciones cambiarias; modelos GARCH.;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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