Noticias del COVID-19 y contagio de volatilidad en la Bolsa Mexicana de Valores

• Óscar V. De la Torre-Torres ^[1]
  1. [1] Universidad Michoacana de San Nicolás de Hidalgo

     Universidad Michoacana de San Nicolás de Hidalgo

     México

     
• Localización: Contaduría y administración, ISSN 0186-1042, ISSN-e 2448-8410, Vol. 65, Nº. Extra 5, 2020 (Ejemplar dedicado a: Especial COVID-19)
• Idioma: español
• Títulos paralelos:
  • COVID-19 news and high volatility episodes in the Mexican stock exchange
• Enlaces
  • Texto completo (pdf)
• Dialnet Métricas: 2 Citas
• Resumen
  • español

    En el presente trabajo se utilizan el índice de volatilidad VIX e índices de sentimiento de mercado de noticias de política económica, comercial y de propagación de enfermedades como el COVID-19. Esto para medir el efecto que estos tienen en la probabilidad de ocurrencia de episodios de alta volatilidad en la Bolsa Mexicana de Valores (BMV). Con información mensual de enero de 1996 a agosto del 2020, se utilizaron modelos Markov-Switching para calcular las probabilidades suavizadas de un régimen de alta volatilidad. Con estas y los índices de sentimiento de mercado, se corrieron modelos logit que demostraron que la incertidumbre relativa a noticias del COVID-19 no genera episodios de alta volatilidad en la BMV. La presencia de estos episodios se debe más a una situación de contagio de volatilidad desde los mercados financieros estadounidenses.

  • English

    In the present work VIX volatility, Economic and trade policy and infectious disease (such as COVID-19) news sentiment indexes. This, to measure their impact in the probability of being in a high volatility episode in the Mexican stock exchange (BMV). With monthly data from January 1996 to August 2020, Markov-Switching models were used to estimate the smoothed high volatility regime probabilities. With these and the market sentiment indexes, logit models were estimated in order to prove that the COVID-19 news uncertainty does not generate high volatility episodes in the BMV. These episodes are a result of a volatility spillover from the U.S. financial markets.

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