Mining stock performance and its influence on Lima stock exchange profitability: A cointegration analysis approach

Abstract

The study analyzes the behavior of mining stocks and their influence on the profitability of the Lima Stock Exchange (LSE), evaluating the potential cointegration of variables. This topic is attractive for the participants that make up the Peruvian stock market and the research community. The objective of the research is to determine the impact of mining stocks on the profitability of LSE and the long-term equilibrium relationship in the context of a cointegration analysis approach. In the study population, 1782 observations were considered, with a daily periodicity, corresponding to the years 2015 to 2021. The study has a quantitative and explanatory level approach, a regression model with first differences, a model with dummy variables and the Dickey Fuller statistical test were applied. In conclusion, the hypothesis indicating that mining shares have a significant impact on the profitability of the LSE is confirmed, and it is also proven that the behavior of these variables cointegrates.