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Impact of Commodity Price Fluctuations on the Peruvian Stock Market (2010-2019)
[Impacto de la variación del precio de los commodities sobre el mercado de valores peruano (2010-2019)]

Author

Listed:
  • Héctor Javier Bendezú-Jiménez

    (Universidad Nacional Mayor de San Marcos)

  • Mauro Jesús Camacho Gadea

    (Universidad Continental)

Abstract

The objective of this article is to identify the impact of the daily variation in international copper, gold, and zinc prices on the return and daily volatility of the S&P/BVL Peru General Index of the Lima Stock Exchange. The results confirm that there is a direct relationship between the variation in commodity prices and Lima’s stock market performance. On the other hand, the existence of transitory but lasting effects of shocks on the estimated conditional variance is evidenced, as well as showing that there is an asymmetric relationship between yields and variance. El objetivo de este artículo es identificar el impacto de la variación diaria de los precios internacionales del cobre, oro y zinc sobre el retorno y la volatilidad diaria del Índice S&P/BVL Perú General de la Bolsa de Valores de Lima. Los resultados confirman que existe una relación directa entre la variación de los precios de los commodities y el rendimiento bursátil limeño. De otro lado, se evidencia la existencia de efectos transitorios pero duraderos de los shocks en la varianza condicional estimada, asimismo, una relación asimétrica entre los rendimientos y la varianza.

Suggested Citation

  • Héctor Javier Bendezú-Jiménez & Mauro Jesús Camacho Gadea, 2024. "Impact of Commodity Price Fluctuations on the Peruvian Stock Market (2010-2019) [Impacto de la variación del precio de los commodities sobre el mercado de valores peruano (2010-2019)]," Revista de Economía del Rosario, Universidad del Rosario, vol. 27(2), pages 1-26.
    • Handle: RePEc:col:000151:022170
    DOI: 10.12804/revistas.urosario.edu.co/e
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    References listed on IDEAS

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    1. Willy Alanya & Gabriel Rodríguez, 2019. "Asymmetries in Volatility: An Empirical Study for the Peruvian Stock and Forex Markets," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 22(01), pages 1-18, March.
    2. Raza, Naveed & Jawad Hussain Shahzad, Syed & Tiwari, Aviral Kumar & Shahbaz, Muhammad, 2016. "Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets," Resources Policy, Elsevier, vol. 49(C), pages 290-301.
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    Keywords

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    JEL classification:

    • B26 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Financial Economics
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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