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...

Full description

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
id UNACIONAL2_4f25f998ac1aaba20207b8f11f2da843
oai_identifier_str oai:repositorio.unal.edu.co:unal/60553
network_acronym_str UNACIONAL2
network_name_str Universidad Nacional de Colombia
repository_id_str
spelling Atribución-NoComercial 4.0 InternacionalDerechos reservados - Universidad Nacional de Colombiahttp://creativecommons.org/licenses/by-nc/4.0/info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2Coronado-Ramirez, Semeifb3e9bbd-8861-43f4-a185-6d3d1cbdf778300Rojas-Altamirano, Omarc36a1a73-4a00-494f-86d7-6f416f3b44b8300Romero-Meza, Rafael38c72932-2a84-49c8-bdfe-b7de70b277d0300Venegas-Martínez, Francisco9332f896-2325-4460-92f4-8c38dbddf6793002019-07-02T18:35:08Z2019-07-02T18:35:08Z2016-03-01ISSN: 2346-2183https://repositorio.unal.edu.co/handle/unal/60553http://bdigital.unal.edu.co/58885/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.application/pdfspaUniversidad Nacional de Colombia (Sede Medellín). Facultad de Minas.https://revistas.unal.edu.co/index.php/dyna/article/view/49737Universidad Nacional de Colombia Revistas electrónicas UN DynaDynaCoronado-Ramirez, Semei and Rojas-Altamirano, Omar and Romero-Meza, Rafael and Venegas-Martínez, Francisco (2016) A study of co-movements between U.S. and Latin American stock markets: A cross-bicorrelations perspective. DYNA, 83 (196). pp. 143-148. ISSN 2346-218362 Ingeniería y operaciones afines / EngineeringFinancial crisiscross-bicorrelationsnonlinear dependenceco-movementfinancial markets.A study of co-movements between U.S. and Latin American stock markets: A cross-bicorrelations perspectiveArtículo de revistainfo:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/version/c_970fb48d4fbd8a85Texthttp://purl.org/redcol/resource_type/ARTORIGINAL49737-290106-1-PB.pdfapplication/pdf665419https://repositorio.unal.edu.co/bitstream/unal/60553/1/49737-290106-1-PB.pdf0f11e05bb55917006443645d019a56d8MD51THUMBNAIL49737-290106-1-PB.pdf.jpg49737-290106-1-PB.pdf.jpgGenerated Thumbnailimage/jpeg9313https://repositorio.unal.edu.co/bitstream/unal/60553/2/49737-290106-1-PB.pdf.jpg6c2f188ac7bf78d76e2867999377e9f5MD52unal/60553oai:repositorio.unal.edu.co:unal/605532023-04-07 23:04:50.68Repositorio Institucional Universidad Nacional de Colombiarepositorio_nal@unal.edu.co
dc.title.spa.fl_str_mv A study of co-movements between U.S. and Latin American stock markets: A cross-bicorrelations perspective
title A study of co-movements between U.S. and Latin American stock markets: A cross-bicorrelations perspective
spellingShingle A study of co-movements between U.S. and Latin American stock markets: A cross-bicorrelations perspective
62 Ingeniería y operaciones afines / Engineering
Financial crisis
cross-bicorrelations
nonlinear dependence
co-movement
financial markets.
title_short A study of co-movements between U.S. and Latin American stock markets: A cross-bicorrelations perspective
title_full A study of co-movements between U.S. and Latin American stock markets: A cross-bicorrelations perspective
title_fullStr A study of co-movements between U.S. and Latin American stock markets: A cross-bicorrelations perspective
title_full_unstemmed A study of co-movements between U.S. and Latin American stock markets: A cross-bicorrelations perspective
title_sort A study of co-movements between U.S. and Latin American stock markets: A cross-bicorrelations perspective
dc.creator.fl_str_mv Coronado-Ramirez, Semei
Rojas-Altamirano, Omar
Romero-Meza, Rafael
Venegas-Martínez, Francisco
dc.contributor.author.spa.fl_str_mv Coronado-Ramirez, Semei
Rojas-Altamirano, Omar
Romero-Meza, Rafael
Venegas-Martínez, Francisco
dc.subject.ddc.spa.fl_str_mv 62 Ingeniería y operaciones afines / Engineering
topic 62 Ingeniería y operaciones afines / Engineering
Financial crisis
cross-bicorrelations
nonlinear dependence
co-movement
financial markets.
dc.subject.proposal.spa.fl_str_mv Financial crisis
cross-bicorrelations
nonlinear dependence
co-movement
financial markets.
description 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.
publishDate 2016
dc.date.issued.spa.fl_str_mv 2016-03-01
dc.date.accessioned.spa.fl_str_mv 2019-07-02T18:35:08Z
dc.date.available.spa.fl_str_mv 2019-07-02T18:35:08Z
dc.type.spa.fl_str_mv Artículo de revista
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.driver.spa.fl_str_mv info:eu-repo/semantics/article
dc.type.version.spa.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.coar.spa.fl_str_mv http://purl.org/coar/resource_type/c_6501
dc.type.coarversion.spa.fl_str_mv http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.content.spa.fl_str_mv Text
dc.type.redcol.spa.fl_str_mv http://purl.org/redcol/resource_type/ART
format http://purl.org/coar/resource_type/c_6501
status_str publishedVersion
dc.identifier.issn.spa.fl_str_mv ISSN: 2346-2183
dc.identifier.uri.none.fl_str_mv https://repositorio.unal.edu.co/handle/unal/60553
dc.identifier.eprints.spa.fl_str_mv http://bdigital.unal.edu.co/58885/
identifier_str_mv ISSN: 2346-2183
url https://repositorio.unal.edu.co/handle/unal/60553
http://bdigital.unal.edu.co/58885/
dc.language.iso.spa.fl_str_mv spa
language spa
dc.relation.spa.fl_str_mv https://revistas.unal.edu.co/index.php/dyna/article/view/49737
dc.relation.ispartof.spa.fl_str_mv Universidad Nacional de Colombia Revistas electrónicas UN Dyna
Dyna
dc.relation.references.spa.fl_str_mv Coronado-Ramirez, Semei and Rojas-Altamirano, Omar and Romero-Meza, Rafael and Venegas-Martínez, Francisco (2016) A study of co-movements between U.S. and Latin American stock markets: A cross-bicorrelations perspective. DYNA, 83 (196). pp. 143-148. ISSN 2346-2183
dc.rights.spa.fl_str_mv Derechos reservados - Universidad Nacional de Colombia
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_abf2
dc.rights.license.spa.fl_str_mv Atribución-NoComercial 4.0 Internacional
dc.rights.uri.spa.fl_str_mv http://creativecommons.org/licenses/by-nc/4.0/
dc.rights.accessrights.spa.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv Atribución-NoComercial 4.0 Internacional
Derechos reservados - Universidad Nacional de Colombia
http://creativecommons.org/licenses/by-nc/4.0/
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
dc.format.mimetype.spa.fl_str_mv application/pdf
dc.publisher.spa.fl_str_mv Universidad Nacional de Colombia (Sede Medellín). Facultad de Minas.
institution Universidad Nacional de Colombia
bitstream.url.fl_str_mv https://repositorio.unal.edu.co/bitstream/unal/60553/1/49737-290106-1-PB.pdf
https://repositorio.unal.edu.co/bitstream/unal/60553/2/49737-290106-1-PB.pdf.jpg
bitstream.checksum.fl_str_mv 0f11e05bb55917006443645d019a56d8
6c2f188ac7bf78d76e2867999377e9f5
bitstream.checksumAlgorithm.fl_str_mv MD5
MD5
repository.name.fl_str_mv Repositorio Institucional Universidad Nacional de Colombia
repository.mail.fl_str_mv repositorio_nal@unal.edu.co
_version_ 1806886409307422720

Publicaciones similares