Services on Demand
Journal
Article
Indicators
- Cited by SciELO
- Access statistics
Related links
- Cited by Google
- Similars in SciELO
- Similars in Google
Share
Revista Facultad de Ciencias Económicas: Investigación y Reflexión
Print version ISSN 0121-6805
Abstract
CANDELO-VIAFARA, Juan Manuel; OVIEDO-GOMEZ, Andrés and LOZANO-MEJIA, Enerieth. Macroeconomics and Stock Market: The impact and transmission of Macroeconomic Variables’ Volatility to the Colombian Stock Market. Rev.fac.cienc.econ. [online]. 2023, vol.31, n.1, pp.103-118. Epub Oct 23, 2023. ISSN 0121-6805. https://doi.org/10.18359/rfce.6413.
This document identifies the impact and transmission of volatility from macroeconomic variables to the Colombian stock market. The COLCAP index, which reflects the variation of the most liquid companies on the Colombian stock exchange and includes the shares of the country’s most important companies, is used. As a methodology, the Generalized Vector Autoregressive (VAR) model was applied, and the results showed that the COLCAP index reacts positively to increases in economic activity, industrial activity, and oil prices while reacting negatively to the exchange rate and unemployment rate. Additionally, it was found that COLCAP is a recipient of volatility, with its greatest variations occurring during times of uncertainty.
Keywords : stock market; macroeconomic variables; volatility; models, VAR; COLCAP.