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

Available from: 
March 2015
Paper author(s): 
Semei Coronado (Universidad de Guadalajara)
Omar Rojas (Universidad Panamericana)
Rafael Romero-Meza (PKF Chile Finanzas Corporativas)
Francisco Venegas-Martínez (Instituto Politécnico Nacional)
Financial Economics
Macroeconomics - Economic growth - Monetary Policy

In this paper we use the Brooks and Hinich cross-bicorrelation test in order to uncover nonlinear dependence periods between USA’s Standard and Poor’s 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.


Research section: 
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