Abstract

This paper analyzes the relationship between the volatility of two companies that are typical of the housing development sector in Mexico (ARA and SARE), and the Global Indicator of Economic Activity (IGAE for its acronym in Spanish). This relationship may be used as a real economy pace early indicator. A cointegration analysis was made, and the estimation of a multivariate GARCH was performed, using IGAE as an explatory variable for the condicional variance equation of each return. The results suggest the existence of a cointegration relationship between the IGAE and stock price of ARA and SARE. Moreover, evidence of an inverse relationship between the IGAE and the volatility of both stock returns is presented. Finally, an asymmetric effect is observed, which could possibly be explained by the different approaches to public policy of the housing developing sector that the federal administration has implemented.

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