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Impacto de noticias macroeconómicas en el mercado accionario mexicano

Listed author(s):
  • Rodolfo Cermeño


    (Division of Economics, CIDE)

  • Mahetabel Solís Montes

This 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.

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Paper provided by CIDE, División de Economía in its series Working papers with number DTE 471.

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Length: 24 pages
Date of creation: Feb 2010
Handle: RePEc:emc:wpaper:dte471
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