Impacto de noticias macroeconómicas en el mercado accionario mexicano
AbstractThis paper studies the relationship between macroeconomic fundamentals and the dynamics of stock market prices in Mexico. Specifically, we examine the reaction of daily returns to announcements on macroeconomic variables, using GARCH models. We investigate the behavior of the Mexican stock price index, "Índice de Precios y Cotizaciones" (IPC), as well as eight portfolios from the Mexican stock market, "Bolsa Mexicana de Valores" (BMV) in the proximity of the announcement dates on five macroeconomic variables. The study covers the period 2003-2008. We find that the dynamics of returns in the Mexican stock market is linked to the macroeconomic fundamentals. However, the reaction patterns found here for the case of Mexico are different than those documented for the case of the USA (Brenner et al. 2006).** We also find that the reaction patterns of the stock market index and the eight sectorial indexes, following the publication of macroeconomic news, are heterogeneous. The results found in this paper offer a broad view on the mechanisms in which the new macroeconomic information is incorporated into the prices of Mexican stocks.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by CIDE, Division de Economia in its series Documentos de Trabajo with number DTE 471.
Length: 24 pages
Date of creation: Feb 2010
Date of revision:
macroeconomic fundamentals; stock market prices; Mexico;
Find related papers by JEL classification:
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- R53 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Regional Government Analysis - - - Public Facility Location Analysis; Public Investment and Capital Stock
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Daniel Ventosa-Santaulària).
If references are entirely missing, you can add them using this form.