A study of co-movements between U.S. and Latin American stock markets: A cross-bicorrelations perspective

Autor:	Semei Coronado-Ramirez, Omar Rojas-Altamirano, Rafael Romero-Meza, Francisco Venegas-Martínez
Jazyk:	English<br />Spanish; Castilian
Rok vydání:	2016
Předmět:	Financial crisis cross-bicorrelations nonlinear dependence co-movement financial markets. Technology Mining engineering. Metallurgy TN1-997
Zdroj:	Dyna, Vol 83, Iss 196, Pp 143-148 (2016)
Druh dokumentu:	article
ISSN:	0012-7353 2346-2183
DOI:	10.15446/dyna.v83n196.49737
Popis:	This work applies a test that detects dependence between pairs of variables. The kind of dependence is a non-linear one, and the test is known as cross-bicorrelation, which is associated with Brooks and Hinich [1]. We study dependence periods between U.S. Standard and Poor's 500 (SP500), used as a benchmark, and six Latin American stock market indexes: Mexico (BMV), Brazil (BOVESPA), Chile (IPSA), Colombia (COLCAP), Peru (IGBVL) and Argentina (MERVAL). We have found windows of nonlinear dependence and comovement between the SP500 and the Latin American stock markets, some of which coincide with periods of crisis, leading to an interpretation of a possible contagion or interdependence.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/7799e42af0cd4b30ad8cb79fa2797aaf Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF