In this study we analyze the relationship between the Oil price (under de Brent reference) and the returns of the companies listed on the Mexican Stock Market. The period of analysis was for 208 weeks of information from 2006 to 2010. We found positive conditional correlation using a BEKK model....

This study assesses the impact of three different types of ownership structure (family, institutional, financial, and external blockholders) in the quality of financial reporting information (under the accrued basis on the financial statements), a variable known as "earnings management" on to...

This paper studies the dependence in Mexican and Brazilian financial markets through a method that has proved to obtain better results —along with the characterization of non-linearity and asymptotic dependence— than the use of simple correlation analysis: the copula approach. Using weekly...

“Orthogonal portfolios” methodology applied by Roll (1980), in order to get an orthogonal zero-beta portafolio when we have a nonefficient market index in Mean-Variance approach, is used by MacKinley and Pastor (2000) to obtain a non observed risk factor that considers the information aj?0...

We examine the non-linearity of the Mexican Stock Market daily returns. We find empirical evidence to reject lineal specifications in the behavior of the stock returns. As a consequence, most of the findings based on lineal methods regarding the stock market in Mexico may be questioned. We also...

The intention of the present work is to evaluate long-run relations in the stock markets of six Latin American countries (Argentina, Brazil, Chile, Colombia, Mexico and Peru) and the United States stock market, by means of a model in which a cointegration relation exists between the principals...