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

Semei Coronado-Ramirez; Rojas, Omar; 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

Journal

DYNA

ISSN

2346-2183

0012-7353

Date Issued

2016

Author(s)

Semei Coronado-Ramirez

Rojas, Omar

Escuela Superior de Dirección y Administración de Instituciones - CampGDL

Rafael Romero-Meza

Francisco Venegas-Martínez

Type

text::journal::journal article

DOI

10.15446/dyna.v83n196.49737

URL

https://scripta.up.edu.mx/handle/20.500.12552/3536

Abstract

<p>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.</p>