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

Semei Leopoldo Coronado Ramírez, Omar Rojas, Rafael Romero Meza, Francisco Venegas Martínez

• español

  Este trabajo aplica una prueba para detectar dependencia entre pares de variables. Este tipo de dependencia es no linear, y la prueba es conocida como bicorrelación cruzada, la cual es asociada a Brooks y Hinich [1]. Estudiamos periodos de dependencia no-lineal entre el índice Standard and Poor’s 500 (SP500) de EUA y seis índices de mercados accionarios latinoamericanos: México (BMV), Brasil (BOVESPA), Chile (IPSA), Colombia (COLCAP), Perú (IGBVL) and Argentina (MERVAL). Hemos encontrado ventanas de dependencia no-lineal y de co-movimiento entre el SP500 y los mercados accionarios latinoamericanos, algunas de las cuales coinciden con períodos de crisis, lo cual da paso a posibles interpretaciones de contagio o interdependencia.

• English

  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 co-movement 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.