Núm. 48 (2018)

Contagion and stock interdependence in the BRIC+M block

Magnolia Miriam Sosa Castro
Christian Bucio Pacheco
Universidad Autónoma del Estado de México
Alejandra Cabello Rosales
Universidad Nacional Autónoma de México
Núm. 48
Publicado junio 1, 2018


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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