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

Coronado-Ramirez, Semei and Rojas-Altamirano, Omar and Romero-Meza, Rafael and Venegas-Martínez, Francisco (2016) A study of co-movements between U.S. and Latin American stock markets: A cross-bicorrelations perspective. DYNA, 83 (196). pp. 143-148. ISSN 2346-2183

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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.

Tipo de documento:Artículo - Article
Palabras clave:Financial crisis, cross-bicorrelations, nonlinear dependence, co-movement, financial markets.
Temática:6 Tecnología (ciencias aplicadas) / Technology > 62 Ingeniería y operaciones afines / Engineering
Unidad administrativa:Revistas electrónicas UN > Dyna
Código ID:58885
Enviado por : Dirección Nacional de Bibliotecas STECNICO
Enviado el día :31 Oct 2017 17:20
Ultima modificación:27 Noviembre 2017 22:04
Ultima modificación:27 Noviembre 2017 22:04
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