This study analyzes the behavior of the companies in the index of México's Precios y Cotizaciones (IPC), with respect to measures of financial performance and its relationship with the two main approaches of innovation, according to the Bogota and Oslo manuals; assessing their impact on the stock price. The data is used on a quarterly basis from January 2000 to December 2011. It also makes reference to the impact of having the distinction "Socially Responsible Company" (Corporate Social Responsibility), in the Mexican stock market price reaction. Our main interest is to be pioneers in the search for relationships between topics that are currently treated as "alien" (CSR and Innovation) in formal academic publications, but we intuitively know that they are related inside organizations.
We study the interdependence, the conditional tail dependences and the volatilities of the oil and the exchange-rate returns for the Mexican economy. We develop the analysis with four copula-based TGARCH models. The main findings show that: (1) the Clayton-TGARCH distribution seems to characterise the co-movements between the series; (2) leverage effects of the exchange rate returns are bigger than the ones of the oil returns; (3) the series show lower tail dependence; and (4) extreme downfalls in oil returns may reduce exchange-rate ones with a probability of less than 10%. The study relies on series of weekly returns for the period between
In this paper the conditional dependence of stock market in Mexico and the United States is studied. Symmetric Joe-Clayton copula is used and conditional probabilities of increases (decreases) in Mexico stock index when there are increases (decreases) in the U.S. stock index are estimated. For the marginal distributions, AR-TGARCH and AR-EGARCH models with a standardized Student's t distribution for innovations are proposed. Empirical results suggest that there is a high degree of conditional dependence in the tails, presenting higher volatility on the upper (right) tail throughout the period.
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