A study of co-movements between USA and Latin American stock markets: a cross-bicorrelations perspective

2015/03/24 by Coronado, Semei, Rojas, Omar, Romero-Meza, Rafael +1
#91G70 #FOS: Economics and business #Statistical Finance (q-fin.ST)

paper · doi:10.48550/arxiv.1503.06926

Abstract

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.

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