Abstract:We analyze the differential influence of Mexican oil price, exchange rate and S&P 500 Index on the Mexican Stock Exchange: S&P/BMV IPC ESG Tilted Index (sustainable stock market index), and on the S&P/BMV IPC (General stock market index) in two different regimes. First, we estimate the conditional volatility of the series using a univariate GARCH model under the t-Student distribution. Second, a Markov Switching Vector Autoregressive model is developed. The evidence identifies sustainable asset per… Show more
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