Analysis of stock volatility behavior in Mexico for periods of unconventional monetary policy
DOI:
https://doi.org/10.29201/peipn.v14i28.45Keywords:
monetary policy, Mexican stock market, volatility analysisAbstract
The work is developed around the effects of unconventional monetary policy on the stock market in Mexico. The problem emerge about how the stock market reacted to the adjustments in the interest rate derived from the 2008 crisis until mid-2016. Equally weighted portfolios of the sectors of the economy are formed, which through GARCH models and non-parametric tests of Kolmogrov-Smirnov determine whether there is evidence of statistically significant changes between a period prior to the 2008 crisis and after is. The results show a similar trend in both series, which could be interpreted as a preference on the part of investors in Mexico for the performance of the sector rather than the interest rate on which the cash flows are discounted.
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