TY - JOUR
T1 - Volatility dependence structure between the Mexican Stock Exchange and the World Capital Market
AU - Herrera, Francisco López
AU - Salgado, Roberto J.Santillán
AU - Ake, Salvador Cruz
N1 - Publisher Copyright:
© 2015 .
PY - 2015/7/1
Y1 - 2015/7/1
N2 - This paper studies the integration of the Mexican Stock Exchange (MSE) into the World Capital Market (WCM). We detect a long-run equilibrium relationship, despite the effects of structural breaks associated to different financial crises during our period of analysis (1987-2012). The analytical approach begins with the estimation of a bivariate VECM in the mean, including several dummy variables that capture the main crisis episodes that took place during the estimation period. Next, we specify a VARMA-GARCH model with Dynamic Conditional Correlation, and, finally, we fit a Clayton copula to returns, conditional on two volatility regimes (low and high), in order to further understand the nature of their dependence structure.
AB - This paper studies the integration of the Mexican Stock Exchange (MSE) into the World Capital Market (WCM). We detect a long-run equilibrium relationship, despite the effects of structural breaks associated to different financial crises during our period of analysis (1987-2012). The analytical approach begins with the estimation of a bivariate VECM in the mean, including several dummy variables that capture the main crisis episodes that took place during the estimation period. Next, we specify a VARMA-GARCH model with Dynamic Conditional Correlation, and, finally, we fit a Clayton copula to returns, conditional on two volatility regimes (low and high), in order to further understand the nature of their dependence structure.
KW - Copula analysis
KW - Mexican Stock Exchange
KW - Multivariate GARCH
KW - Volatility dependence
KW - World Capital Market
UR - http://www.scopus.com/inward/record.url?scp=84944453056&partnerID=8YFLogxK
U2 - 10.1016/j.inveco.2015.06.001
DO - 10.1016/j.inveco.2015.06.001
M3 - Artículo
SN - 0185-1667
VL - 74
SP - 69
EP - 97
JO - Investigacion Economica
JF - Investigacion Economica
IS - 293
ER -