A study of co-movements between USA and Latin American stock markets: a cross-bicorrelations perspective
In this paper we use the Brooks and Hinich cross-bicorrelation test in order to uncover nonlinear dependence periods between USA Standard and Poor 500 (SP500), used as benchmark, and six Latin American stock markets indexes: Mexico (BMV), Brazil (BOVESPA), Chile (IPSA), Colombia (COLCAP), Peru (IGBVL) and Argentina (MERVAL). We have found windows of nonlinear dependence and co-movement between the SP500 and the Latin American stock markets, some of which coincide with periods of crisis, giving way to a possible contagion or interdependence interpretation.
Year of publication: |
2015-03
|
---|---|
Authors: | Coronado, Semei ; Rojas, Omar ; Romero-Meza, Rafael ; Venegas-Martinez, Francisco |
Institutions: | arXiv.org |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Crude oil and biofuel agricultural commodity prices
Coronado, Semei, (2018)
-
A Bayesian approach to model changes in volatility in the Mexican stock exchange index
Cabrera, Gustavo, (2018)
-
Adaptive Market Efficiency of Agricultural Commodity Futures Contracts
Semei Coronado-Ram\'irez, (2014)
- More ...