Resumo

MARINE OSORIO, Fernando José  e  BRIBIESCA AGUIRRE, Juan Carlos. Effects of implied volatility on companies with greater stock market value in the Mexican stock market. The Anáhuac j. [online]. 2017, vol.17, n.1, pp.69-100.  Epub 24-Jan-2022. ISSN 2683-2690.  https://doi.org/10.36105/theanahuacjour.2017v17n1.03.

This paper presents the results of the analysis of the Mexican stock market to find if implicit volatility could be used as a systematic determinant in order to explain the yields of ten of the most representative stocks in the Mexican market. We applied statistical methods and regression techniques to explore if there is any relationship between Mexican VIX or VIMEX and historical returns of the IPC. We observed that there is a negative correlation between implicit volatility and stock returns, and tested if VIMEX could be used as an alternative method to explain systematic risk.

Palavras-chave : Mexican VIX; VIMEX; INMEX; behavioral factors; risk premia; market efficiency; mexican stock market; implicit volatility; derivatives; M21; G02; G12; C50; C23.

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