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Impacto de noticias macroeconómicas en el mercado accionario mexicano

Author

Listed:
  • Rodolfo Cermeño

    (Division of Economics, CIDE)

  • Mahetabel Solís Montes

Abstract

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.

Suggested Citation

  • Rodolfo Cermeño & Mahetabel Solís Montes, 2010. "Impacto de noticias macroeconómicas en el mercado accionario mexicano," Working papers DTE 471, CIDE, División de Economía.
    • Handle: RePEc:emc:wpaper:dte471
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    File URL: http://www.economiamexicana.cide.edu/RePEc/emc/pdf/DTE/DTE471.pdf
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    More about this item

    Keywords

    macroeconomic fundamentals; stock market prices; Mexico;
    All these keywords.

    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

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