A study of co-movements between U.S. and Latin American stock markets: A cross-bicorrelations perspective
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 a...
- Autores:
-
Coronado-Ramirez, Semei
Rojas-Altamirano, Omar
Romero-Meza, Rafael
Venegas-Martínez, Francisco
- Tipo de recurso:
- Article of journal
- Fecha de publicación:
- 2016
- Institución:
- Universidad Nacional de Colombia
- Repositorio:
- Universidad Nacional de Colombia
- Idioma:
- spa
- OAI Identifier:
- oai:repositorio.unal.edu.co:unal/60553
- Acceso en línea:
- https://repositorio.unal.edu.co/handle/unal/60553
http://bdigital.unal.edu.co/58885/
- Palabra clave:
- 62 Ingeniería y operaciones afines / Engineering
Financial crisis
cross-bicorrelations
nonlinear dependence
co-movement
financial markets.
- Rights
- openAccess
- License
- Atribución-NoComercial 4.0 Internacional
| Summary: | 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. |
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