Impact of Commodity Price Fluctuations on the Peruvian Stock Market (2010-2019); [Impacto da variação do preço das commodities na bolsa peruana (2010-2019)]

Bendezú-Jiménez H.J.; Gadea M.J.C. · Revista de Economia del Rosario (2024) · DOI: 10.12804/revistas.urosario.edu.co/economia/a.15737

Resumen

The objective of this article is to identify the impact of the daily variation in international copper, gold, and zinc prices on the return and daily volatility of the S&P/BVL Peru General Index of the Lima Stock Exchange. The results confirm that there is a direct relationship between the variation in commodity prices and Lima’s stock market performance. On the other hand, the existence of transitory but lasting effects of shocks on the estimated conditional variance is evidenced, as well as showing that there is an asymmetric relationship between yields and variance.

Instituciones: Universidad Nacional Mayor de San Marcos; Universidad Continental