Resumen

CORONADO, Semei; ROJAS, Omar; ROMERO-MEZA, Rafael  y  VENEGAS-MARTINEZ, Francisco. A study of co-movements between U.S. and Latin American stock markets: A cross-bicorrelations perspective. Dyna rev.fac.nac.minas [online]. 2016, vol.83, n.196, pp.143-148. ISSN 0012-7353.  https://doi.org/10.15446/dyna.v83n196.49737.

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.

Palabras clave : Financial crisis; cross-bicorrelations; nonlinear dependence; co-movement; financial markets.

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