Contagion and Stock Interdependence in the BRIC+M Block
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| Formato: | Artículo científico |
| Lenguaje: | en |
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Universidad Autónoma Metropolitana
2018
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| _version_ | 1876450210091106304 |
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| author | Magnolia Miriam Sosa Castro |
| author_facet | Magnolia Miriam Sosa Castro |
| contents | Contagion and Stock Interdependence in the BRIC+M Block Magnolia Miriam Sosa Castro Christian Bucio Pacheco Alejandra Cabello Rosales Economía y Finanzas G15 C58 D53 BRIC+M block Contagion Effect This paper aims to analyze the contagion effect among the stock markets of the BRIC+M block (Brazil, Russia, India, China plus Mexico). The contagion effect is proved through increases on dependence parameters during crisis periods. The dependence parameters are estimated through a dynamic bivariate copula approach for the period July 1997 to December 2015. During this period there were instability and calm episodes, which allow analyzing changes in the relations of dependence. Empirical results show strong evidence of time-varying dependence among the BRIC+M markets and an increasing dependence relation during the global financial crisis period. 2018 artículo científico 0188-3380 https://www.redalyc.org/articulo.oa?id=281156627007 https://www.redalyc.org/journal/2811/281156627007/ https://www.redalyc.org/journal/2811/281156627007/html/ https://www.redalyc.org/journal/2811/281156627007/281156627007.epub https://www.redalyc.org/journal/2811/281156627007/movil 10.24275/ETYPUAM/NE/482018/Sosa en http://www.redalyc.org/revista.oa?id=2811 Economía: Teoría y práctica application/pdf Universidad Autónoma Metropolitana Economía: Teoría y práctica (México) Num.48 |
| format | Artículo científico |
| id | redalyc_281156627007 |
| institution | Redalyc |
| language | en |
| publishDate | 2018 |
| publisher | Universidad Autónoma Metropolitana |
| spellingShingle | Contagion and Stock Interdependence in the BRIC+M Block Magnolia Miriam Sosa Castro Economía y Finanzas G15 C58 D53 BRIC+M block Contagion Effect Contagion and Stock Interdependence in the BRIC+M Block Magnolia Miriam Sosa Castro Christian Bucio Pacheco Alejandra Cabello Rosales Economía y Finanzas G15 C58 D53 BRIC+M block Contagion Effect This paper aims to analyze the contagion effect among the stock markets of the BRIC+M block (Brazil, Russia, India, China plus Mexico). The contagion effect is proved through increases on dependence parameters during crisis periods. The dependence parameters are estimated through a dynamic bivariate copula approach for the period July 1997 to December 2015. During this period there were instability and calm episodes, which allow analyzing changes in the relations of dependence. Empirical results show strong evidence of time-varying dependence among the BRIC+M markets and an increasing dependence relation during the global financial crisis period. 2018 artículo científico 0188-3380 https://www.redalyc.org/articulo.oa?id=281156627007 https://www.redalyc.org/journal/2811/281156627007/ https://www.redalyc.org/journal/2811/281156627007/html/ https://www.redalyc.org/journal/2811/281156627007/281156627007.epub https://www.redalyc.org/journal/2811/281156627007/movil 10.24275/ETYPUAM/NE/482018/Sosa en http://www.redalyc.org/revista.oa?id=2811 Economía: Teoría y práctica application/pdf Universidad Autónoma Metropolitana Economía: Teoría y práctica (México) Num.48 |
| title | Contagion and Stock Interdependence in the BRIC+M Block |
| topic | Economía y Finanzas G15 C58 D53 BRIC+M block Contagion Effect |
| url | https://www.redalyc.org/articulo.oa?id=281156627007 https://www.redalyc.org/journal/2811/281156627007/ https://www.redalyc.org/journal/2811/281156627007/html/ https://www.redalyc.org/journal/2811/281156627007/281156627007.epub https://www.redalyc.org/journal/2811/281156627007/movil |