Núm. 48 (2018)
Artículos

Contagion and stock interdependence in the BRIC+M block

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  • Magnolia Miriam Sosa Castro,
  • Christian Bucio Pacheco,
  • Alejandra Cabello Rosales
Magnolia Miriam Sosa Castro
UNIVERSIDAD NACIONAL AUTÓNOMA DE MÉXICO
Biografía
Christian Bucio Pacheco
Universidad Autónoma del Estado de México
Alejandra Cabello Rosales
Universidad Nacional Autónoma de México
Núm. 48
DOI: https://doi.org/10.24275/ETYPUAM/NE/482018/Sosa
Publicado junio 1, 2018
Creative Commons License
Esta obra está bajo licencia internacional Creative Commons Reconocimiento-CompartirIgual 4.0.

Resumen

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.

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Citas

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