Abstract

PEREZ, Ricardo  and  MONTALVO, Raúl F.. Analysis of the influence of the real economic activity on the volatility of shareholder profitability: A case in the building sector in Mexico. EconoQuantum [online]. 2017, vol.14, n.2, pp.69-84. ISSN 2007-9869.  https://doi.org/10.18381/eq.v14i2.7103.

The relationship between the economic activity and the financial system has been extensively analyzed in the literature of economic growth. In the empirical analysis of this relationship different techniques have been used such as causality tests, cointegration and volatility models, whose conclusions can not necessarily be extrapolated to the realities of different countries and sectors. The aim of this research work is to analyze with a GARCH model the housing industry and the level of influence that the expected trend of the general economic activity exerts over the volatility of the stock return of a representative company in this sector. We find evidence that there is an inverse relationship between both of them.

Keywords : GARCH; economic growth; housing industry; C14; C32; C58; L78; O47.

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