Impact of Commodity Price Fluctuations on the Peruvian Stock Market (2010-2019)

DOI:  https://doi.org/10.12804/revistas.urosario.edu.co/economia/a.15737

Article Sidebar

PDF (Español (España)) HTML (Español (España)) XML (Español (España))

Published: Nov 18, 2025
Issue: Vol. 27 No. 2 (2024):
Section Articles


Keywords: Commodities EGARCH model stock market indices Stock Market Peru

Main Article Content

Authors

  Héctor Javier Bendezú Jiménez
Universidad Nacional Mayor de San Marcos
  Mauro Jesús Camacho Gadea
Universidad Continental

Abstract

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.

How to Cite
Bendezú Jiménez, H. J., & Camacho Gadea, M. J. (2025). Impact of Commodity Price Fluctuations on the Peruvian Stock Market (2010-2019). Revista Economía Del Rosario, 27(2). https://doi.org/10.12804/revistas.urosario.edu.co/economia/a.15737
References

Alanya, W., & Rodríguez, G. (2016). Asymmetries in volatility: an empirical study for the Peruvian stock and forex markets [Documento de Trabajo 413]. Departamento de Economía, pucp. http://files.pucp.edu.pe/departamento/economia/DDD413.pdf

Alsufyani, M., & Sarmidi, T. (2020). The inter-relationship between commodity energy prices and stock market volatility in Saudi-Arabia. Journal of Nusantara Studies (jonus), 5(1), 270-293. http://dx.doi.org/10.24200/jonus.vol5iss1pp270-293 DOI: https://doi.org/10.24200/jonus.vol5iss1pp270-293

Arouri, M. E. H., Lahiani, A., & Nguyen, D. K. (2015, enero), World gold prices and stock returns in China: insights for hedging and diversification strategies. Economic Modelling, 44, 273-282. https://doi.org/10.1016/j.econmod.2014.10.030 DOI: https://doi.org/10.1016/j.econmod.2014.10.030

Banco Central de Reserva del Perú. (s. f.). Series Anuales. Indicadores Internacionales. https://estadisticas.bcrp.gob.pe/estadisticas/series/

Bollerslev, T. (1986, abril). Generalized Autoregressive Conditional Heteroscedasticity. Journal of Econometrics, 31(3), 307-327. https://doi.org/10.1016/0304-4076(86)90063-1 DOI: https://doi.org/10.1016/0304-4076(86)90063-1

Bolsa de Valores de Lima. (s. f.). ¿Qué es el Índice S&P/BVL Peru General? https://www.bvl.com.pe/mercado/indices/indice-spbvl-peru-general

Brooks, C. (2008). Introductory Econometrics for Finance (2a ed.). Cambridge University Press. DOI: https://doi.org/10.1017/CBO9780511841644

El precio de los commodities en la minería: un factor fundamental en este campo. (2018). Conexión ESAN. https://www.esan.edu.pe/conexionesan/el-precio-de-los-commodities-en-la-mineria-un-factor-fundamental-en-este-campo.

Contuk, F., Burucu, H., & Güngör, B. (2013). Effect of gold price volatility on stock returns: Example of Turkey. International Journal of Economics and Finance Studies, 5(1), 119-140. https://dergipark.org.tr/en/pub/ijefs/issue/26160/275542

Creti, A., Joëts, M., & Mignon, V. (2012). On the links between stock and commodity markets’ volatility [Working Paper No 2012–20]. Centre d’Etudes Prospectives et d’Informations Internationales, cepii. https://www.cepii.fr/PDF_PUB/wp/2012/wp2012-20.pdf

Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427-431. https://doi.org/10.1080/01621459.1979.10482531 DOI: https://doi.org/10.1080/01621459.1979.10482531

Engle, R. F. (1982, julio). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation, Econometrica, 50(4), 987-1007. https://www.jstor.org/stable/1912773 DOI: https://doi.org/10.2307/1912773

Engle, R. F. (2001, otoño). GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics. Journal of Economic Perspectives, 15(4), 157-168. https://www.jstor.org/stable/2696523 DOI: https://doi.org/10.1257/jep.15.4.157

Estrada Mendoza, G., & Ramos Osorio, L. (2013, enero-junio). Impacto de shocks en la cotización de cobre sobre el rendimiento del mercado accionario peruano. Sinergia e Innovación, 1(1). http://revistas.upc.edu.pe/index.php/sinergia/article/view/148

Fernández, J., & Rodríguez, G. (2020). Modeling the Volatility of Returns on Commodities: An Application and Empirical Comparison of GARCH and SV Models [Documento de Trabajo 484] Departamento de Economía, PUPC. http://doi.org/10.18800/2079-8474.0484 DOI: https://doi.org/10.18800/2079-8474.0484

Gilmore, C. G., McManus, G. M., Sharma, R., & Tezel, A. (2009) The dynamics of gold prices, gold mining stock prices and stock market prices comovements. Research in Applied Economics, 1(1). https://doi.org/10.5296/rae.v1i1.301 DOI: https://doi.org/10.5296/rae.v1i1.301

Hamilton, J. D. (1994). Time series analysis. Princeton University Press. DOI: https://doi.org/10.1515/9780691218632

Hammoudeh, S., & Yuan, Y. (2008, marzo). Metal volatility in presence of oil and interest rate shocks. Energy Economics, 30(2), 606-620. https://doi.org/10.1016/j.eneco.2007.09.004 DOI: https://doi.org/10.1016/j.eneco.2007.09.004

Humala, A., & Rodríguez, G. (2011). Some stylized facts of returns in the foreign exchange and stock markets in Peru [Documento de Trabajo 325]. Departamento de Economía, PUCP. http://repositorio.pucp.edu.pe/index/handle/123456789/46966

Ildýrar, M., & Iscan, Y. (2016). The interaction between stock prices and commodity prices: Eastern Europe and Central Asia case. International Journal of Economics and Finance Studies, 8(2), 94-106. https://dergipark.org.tr/en/pub/ijefs/issue/26145/275337

Lawrence, C. (2003). Why is gold different from other assets? An empirical investigation. World Gold Council. https://www.spdrgoldshares.com/media/GLD/file/colin_lawrence_report.pdf

Mendiola, A., Chávez-Bedoya, L., & Wallenstein, T. (2022). Analyzing the Reaction of Mining Stocks to the Development of Copper Prices. Emerging Markets Finance and Trade, 58(1), 244-266. https://doi.org/10.1080/1540496X.2019.1703103 DOI: https://doi.org/10.1080/1540496X.2019.1703103

Mensi, W., Beljid, M., Boubaker, A., & Managi, S. (2013). Correlations and volatility spillovers across commodity and stock markets: linking energies, food, and gold. Economic Modelling, 32, 15-22. https://doi.org/10.1016/j.econmod.2013.01.023 DOI: https://doi.org/10.1016/j.econmod.2013.01.023

Ministerio de Economía y Finanzas, (2008). CAPITULO I. Conceptos Básicos sobre el Mercado de Valores. https://www.mef.gob.pe/es/?option=com_content&language=es-ES&Itemid=100143&view=article&catid=297&id=2186&lang=es-ES.

Mishra, P. K., Das, J. R., & Mishra, S. K. (2010). Gold price volatility and stock market returns in India. American Journal of Scientific Research, 9(9), 47-55. https://www.researchgate.net/publication/280324587_Gold_Price_Volatility_and_Stock_Market_Returns_in_India

Morales, L. (2008, 27-28 de marzo). Do precious metals markets influence stock markets? A volatility approach. 8th International Business Research Conference. Dubai, UAE. https://www.researchgate.net/profile/Lucia_Morales/publication/228791074_Do_Precious_Metals_Markets_Influence_Stock_Markets/links/55b748e808aec0e5f4381483/Do-Precious-Metals-Markets-Influence-Stock-Markets.pdf

Morales, L., & Andreosso-O’Callaghan, B. (2011, junio). Comparative analysis on the effects of the Asian and global financial crises on precious metal markets. Research in International Business and Finance, 25(2), 203-227. https://doi.org/10.1016/j.ribaf.2011.01.004 DOI: https://doi.org/10.1016/j.ribaf.2011.01.004

Nelson, D. B. (1991, marzo). Conditional heteroskedasticity in asset returns: A new approach. Econometrica. Journal of the Econometric Society, 59(2), 347-370. https://doi.org/10.2307/2938260 DOI: https://doi.org/10.2307/2938260

Nordin, N., Nordin, S., & Ismail, R. (2014), The impact of commodity prices, interest rate and exchange rate on stock market performance: An empirical analysis from Malaysia. Malaysian Management Journal, 18, 39-52. https://www.researchgate.net/publication/343640693_The_Impact_of_Commodity_Prices_Interest_Rate_and_Exchange_Rate_on_Stock_Market_Performance_An_Empirical_Analysis_From_Malaysia DOI: https://doi.org/10.32890/mmj.18.2014.9015

Portal, Y. (2017). Precios de commodities metales y su influencia en el mercado de acciones peruano [Tesis de maestría en Finanzas, Universidad de Chile]. https://repositorio.uchile.cl/handle/2250/149881

Raza, N., Shahzad, S., Tiwari, A., & Shahbaz, M. (2016, septiembre). Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets. Resources Policy, 49, 290-301. http://dx.doi.org/10.1016/j.resourpol.2016.06.011 DOI: https://doi.org/10.1016/j.resourpol.2016.06.011

Sadiq, M., Lin, C-Y., Wang, K-T., Trung, L., Duong, K., & Ngo, T. (2022, diciembre). Commodity dynamism in the COVID-19 crisis: Are gold, oil, and stock commodity prices, symmetrical? Resources Policy, 79. https://doi.org/10.1016/j.resourpol.2022.103033 DOI: https://doi.org/10.1016/j.resourpol.2022.103033

Shahzad, S. J., Raza, N., & Awan, A. H. (2014). Commodities and Stock Investment: A Multivariate Analysis. SAGE Open, 4(3), 1-12. https://doi.org/10.1177/2158244014548846 DOI: https://doi.org/10.1177/2158244014548846

Soenen, L., & Johnson, R. (2009). Commodity Prices and Stock Market Behavior in South American Countries in the Short Run. Emerging Markets Finance and Trade, 45(4), 69-82. https://doi.org/10.2753/REE1540-496X450405 DOI: https://doi.org/10.2753/REE1540-496X450405

Sulthana, M. (2012). A study on stock volatility and its impact on copper prices in commodity market. International Journal of Financial Management (ijfm), 1(1), 1-12.

Szczygielski, J. J., Enslin, Z., & du Toit, E. (2018) An investigation into the changing relationship between the gold price and South African gold mining industry returns. South African Journal of Business Management, 49(1). DOI: https://doi.org/10.4102/sajbm.v49i1.232

Tufano, P. (1998, junio). The determinants of stock price exposure: Financial engineering and the gold mining industry. Journal of Finance, 53(3), 1015-1052. https://doi.org/10.1111/0022-1082.00042 DOI: https://doi.org/10.1111/0022-1082.00042

Yousaf, I., Hanif, H., Ali, S., & Moudud-Ul-Huq, S. (2021). Linkages between gold and Latin American equity markets: portfolio implications. Journal of Economics, Finance and Administrative Science, 26(52), 237-251. http://dx.doi.org/10.1108/jefas-04-2020-0139. DOI: https://doi.org/10.1108/JEFAS-04-2020-0139

Zevallos, M., & del Carpio, C. (2015). Metal Returns, Stock Returns and Stock Market Volatility. Economía, XXXVIII(75), 101-122. https://doi.org/10.18800/economia.201501.003 DOI: https://doi.org/10.18800/economia.201501.003

Query Statistics

Downloads

Download data is not yet available.
Publcation metrics

0




 

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

Los autores conservan los derechos de autor y garantizan a la revista el derecho de ser la primera publicación del trabajo al igual que licenciado bajo una Creative Commons Attribution License que permite a otros compartir el trabajo con un reconocimiento de la autoría del trabajo y la publicación inicial en esta revista.