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

Semei Coronado; Omar Rojas; Rafael Romero-Meza; Francisco Venegas-Martínez

doi:10.15446/dyna.v83n196.49737

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

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

Semei Coronado, Omar Rojas, Rafael Romero-Meza, Francisco Venegas-Martínez

Escuela Superior de Economía (ESE)

Research output: Contribution to journal › Article › peer-review

6 Scopus citations

Abstract

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.

Translated title of the contribution	A study of co-movements between U.S. and Latin American stock markets: A cross-bicorrelations perspective
Original language	English
Pages (from-to)	143-148
Number of pages	6
Journal	DYNA (Colombia)
Volume	83
Issue number	196
DOIs	https://doi.org/10.15446/dyna.v83n196.49737
State	Published - Apr 2016

Keywords

Co-movement
Cross-bicorrelations
Financial crisis
Financial markets
Nonlinear dependence

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10.15446/dyna.v83n196.49737

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abstract = "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{\textquoteright}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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AU - Venegas-Martínez, Francisco

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KW - Cross-bicorrelations

KW - Financial crisis

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KW - Nonlinear dependence

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

Abstract

Keywords

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