A study of co-movements between USA and Latin American stock markets: a cross-bicorrelations perspective
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.
Code (0)
등록된 구현이 없습니다.
Similar Papers 제목 키워드 기반
Short Term Stress of Covid-19 On World Major Stock Indices
The main objective of this study is to check short term stress of COVID-19 on the American, European, Asian, and Pacific stock market indices, furthermore, the correlation between all the stock markets during the pandemi…
ClusteringAmerican Sign Language to Text Translation using Transformer and Seq2Seq with LSTM
Sign language translation is one of the important issues in communication between deaf and hearing people, as it expresses words through hand, body, and mouth movements. American Sign Language is one of the sign language…
Machine TranslationSign Language TranslationTranslationAn Exploratory Study of Stock Price Movements from Earnings Calls
Financial market analysis has focused primarily on extracting signals from accounting, stock price, and other numerical hard data reported in P&L statements or earnings per share reports. Yet, it is well-known that the d…
Graph Neural NetworkThe Impact of Stocks on Correlations between Crop Yields and Prices and on Revenue Insurance Premiums using Semiparametric Quantile Regression
Crop yields and harvest prices are often considered to be negatively correlated, thus acting as a natural risk management hedge through stabilizing revenues. Storage theory gives reason to believe that the correlation is…
quantile regressionTime Series Analysis in American Stock Market Recovering in Post COVID-19 Pandemic Period
Every financial crisis has caused a dual shock to the global economy. The shortage of market liquidity, such as default in debt and bonds, has led to the spread of bankruptcies, such as Lehman Brothers in 2008. Using the…
Time SeriesTime Series Analysis