Conditional Correlation Between Oil and Stock Market Returns: The Case of Mexico

In this study we analyze the relationship between the Oil price (under de Brent reference) and the returns of the companies listed on the Mexican Stock Market. The period of analysis was for 208 weeks of information from 2006 to 2010. We found positive conditional correlation using a BEKK model. And we provide graphical evidence of each company and the Oil price.

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Year of publication:	2012-10
Authors:	Valdés, Arturo Lorenzo ; Vázquez, Rocío Durán ; Fraire, Leticia Armenta
Published in:	Remef - The Mexican Journal of Economics and Finance. - 2012, Oct, 15

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010747556