Volatility dependence structure between the Mexican Stock Exchange and the World Capital Market
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| Format: | Artículo científico |
| Langue: | en |
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Universidad Nacional Autónoma de México
2015
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| _version_ | 1876424997137809408 |
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| author | Francisco López Herrera |
| author_facet | Francisco López Herrera |
| contents | Volatility dependence structure between the Mexican Stock Exchange and the World Capital Market Francisco López Herrera Roberto J. Santillán Salgado Salvador Cruz Ake Economía y Finanzas copula analysis multivariate GARCH World Capital Market Volatility dependence Mexican Stock Exchange This paper studies the integration of the Mexican Stock Exchange (MSE) into the World Capital Market (WCM). We detect a long-run equilibrium relationship, despite the effects of structural breaks associated to different financial crises during our period of analy-sis (1987-2012). The analytical approach begins with the estimation of a bivariate VECMin the mean, including several dummy variables that capture the main crisis episodes that took place during the estimation period. Next, we specify a VARMA-GARCH model with Dynamic Conditional Correlation, and, finally, we fit a Clayton copula to returns, conditional on two volatility regimes (low and high), in order to further understand the nature of their dependence structure. 2015 artículo científico 0185-1667 https://www.redalyc.org/articulo.oa?id=60141352005 https://www.redalyc.org/journal/601/60141352005/ https://www.redalyc.org/journal/601/60141352005/html/ https://www.redalyc.org/journal/601/60141352005/60141352005.epub https://www.redalyc.org/journal/601/60141352005/movil en http://www.redalyc.org/revista.oa?id=601 Investigación Económica application/pdf Universidad Nacional Autónoma de México Investigación Económica (México) Num.293 Vol.LXXIV |
| format | Artículo científico |
| id | redalyc_60141352005 |
| institution | Redalyc |
| language | en |
| publishDate | 2015 |
| publisher | Universidad Nacional Autónoma de México |
| spellingShingle | Volatility dependence structure between the Mexican Stock Exchange and the World Capital Market Francisco López Herrera Economía y Finanzas copula analysis multivariate GARCH World Capital Market Volatility dependence Mexican Stock Exchange Volatility dependence structure between the Mexican Stock Exchange and the World Capital Market Francisco López Herrera Roberto J. Santillán Salgado Salvador Cruz Ake Economía y Finanzas copula analysis multivariate GARCH World Capital Market Volatility dependence Mexican Stock Exchange This paper studies the integration of the Mexican Stock Exchange (MSE) into the World Capital Market (WCM). We detect a long-run equilibrium relationship, despite the effects of structural breaks associated to different financial crises during our period of analy-sis (1987-2012). The analytical approach begins with the estimation of a bivariate VECMin the mean, including several dummy variables that capture the main crisis episodes that took place during the estimation period. Next, we specify a VARMA-GARCH model with Dynamic Conditional Correlation, and, finally, we fit a Clayton copula to returns, conditional on two volatility regimes (low and high), in order to further understand the nature of their dependence structure. 2015 artículo científico 0185-1667 https://www.redalyc.org/articulo.oa?id=60141352005 https://www.redalyc.org/journal/601/60141352005/ https://www.redalyc.org/journal/601/60141352005/html/ https://www.redalyc.org/journal/601/60141352005/60141352005.epub https://www.redalyc.org/journal/601/60141352005/movil en http://www.redalyc.org/revista.oa?id=601 Investigación Económica application/pdf Universidad Nacional Autónoma de México Investigación Económica (México) Num.293 Vol.LXXIV |
| title | Volatility dependence structure between the Mexican Stock Exchange and the World Capital Market |
| topic | Economía y Finanzas copula analysis multivariate GARCH World Capital Market Volatility dependence Mexican Stock Exchange |
| url | https://www.redalyc.org/articulo.oa?id=60141352005 https://www.redalyc.org/journal/601/60141352005/ https://www.redalyc.org/journal/601/60141352005/html/ https://www.redalyc.org/journal/601/60141352005/60141352005.epub https://www.redalyc.org/journal/601/60141352005/movil |