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

Título traducido de la contribución: Un estudio de comovimientos entre las bolsas de valores de Estados Unidos de Norteamérica y América Latina: Una perspectiva de la bicorrelación cruzada

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

Escuela Superior de Economía (ESE)

Producción científica: Contribución a una revista › Artículo › revisión exhaustiva

6 Citas (Scopus)

Resumen

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.

Título traducido de la contribución	Un estudio de comovimientos entre las bolsas de valores de Estados Unidos de Norteamérica y América Latina: Una perspectiva de la bicorrelación cruzada
Idioma original	Inglés
Páginas (desde-hasta)	143-148
Número de páginas	6
Publicación	DYNA (Colombia)
Volumen	83
N.º	196
DOI	https://doi.org/10.15446/dyna.v83n196.49737
Estado	Publicada - abr. 2016

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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 - Rojas, Omar

AU - Romero-Meza, Rafael

AU - Venegas-Martínez, Francisco

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AB - 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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KW - Cross-bicorrelations

KW - Financial crisis

KW - Financial markets

KW - Nonlinear dependence

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DO - 10.15446/dyna.v83n196.49737

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

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