2015/03/24 by Semei Coronado, Coronado, Semei, Omar Rojas +6
Economics, Econometrics and Finance · #91G70 #Complex Systems and Time Series Analysis #FOS: Economics and business #Financial Risk and Volatility Modeling #Market Dynamics and Volatility #Statistical Finance (q-fin.ST) #msc:91G70 #q-fin.ST
paper · pdf · doi:10.48550/arxiv.1503.06926
Working paper, 9 pages
arxiv created 2015/03/24 · openalex publication_date 2015/03/24 · arxiv updated 2015/03/25 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In this paper we use the Brooks and Hinich cross-bicorrelation test in order to uncover nonlinear dependence periods between USA Standard and Poor 500 (SP500), used as benchmark, and six Latin American stock markets 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, giving way to a possible contagion or interdependence interpretation.