No. 43 (2015)
Artículos

Interdependencia de los mercados de valores en el mundo

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  • Elena Moreno García,
  • Daniel Vázquez Cotera,
  • Sergio Hernández Mejía,
  • Luis Alberto Larios Ojeda
Elena Moreno García
Universidad Cristobal Colón
Bio
Daniel Vázquez Cotera
Universidad Cristóbal Colón
Bio
Sergio Hernández Mejía
Universidad Cristóbal Colón
Bio
Luis Alberto Larios Ojeda
HSBC
Bio
DOI: https://doi.org/10.24275/ETYPUAM/NE/432015/Moreno
Published December 1, 2015
Copyright Notice

Abstract

Se presenta el análisis de los rendimientos de los mercados de valores de mayor capitalización en el mundo por zona horaria para el período 2009-2015, incluyendo a la Bolsa Mexicana de Valores. Se utilizó la prueba de causalidad de Granger para identificar al mercado líder y encontrar un orden con base en la exogeneidad de cada mercado. Se empleó el modelo de vectores autorregresivos con sus respectivas pruebas de simulación: el análisis impulso-respuesta y la descomposición de la varianza del error de pronóstico para comprobar la rapidez de adaptación, la respuesta de los mercados ante movimientos externos y la proporción de dichos cambios que se atribuye a cada mercado. Se halló evidencia de fuerte interdependencia entre las bolsas, rapida respuesta a movimientos externos y liderazgo del mercado estadounidense.

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