Abstract

FONSECA RAMIREZ, Alejandro  and  SANTILLAN SALGADO, Roberto J.. Incidence of minerals price-volatility on the volatility of the stock prices of the mining industry in Mexico (2008-2015). Revista de coyuntura y perspectiva [online]. 2018, vol.3, n.4, pp.3-30. ISSN 2415-0622.

Abstract This paper examines the behavior of the international prices’ volatility of five mineral products (gold, silver, copper, lead and zinc), and their effects on the short- and long-term price of shares of major mining companies listed on the Mexican Stock Exchange, during the period 2008-2015. The analysis uses a DCC-AGARCH model, which shows that there is a relationship both short-term and long-term between the volatility of prices of minerals, and the volatility of stock prices. The results suggest that the volatilities of the prices of different minerals have a long-term relationship with each other, and that they condition the volatility of the stock price of mining companies.

Keywords : Financial Markets; Commodity Markets; GARCH.