A study of co-movements between USA and Latin American stock markets: a cross-bicorrelations perspective

In this paper we use the Brooks and Hinich cross-bicorrelation test in order to uncover nonlinear dependence periods between USA Standard and Poor 500 (SP500), used as benchmark, and six Latin American stock markets indexes: Mexico (BMV), Brazil (BOVESPA), Chile (IPSA), Colombia (COLCAP), Peru (IGBVL) and Argentina (MERVAL). We have found windows of nonlinear dependence and co-movement between the SP500 and the Latin American stock markets, some of which coincide with periods of crisis, giving way to a possible contagion or interdependence interpretation.Comment: Working paper, 9 page

Identificación de episodios de dependencia no lineal en el peso mexicano

El siguiente documento identifica episodios de dependencia no-lineal en el tipo de cambio mexicano (peso mexicano/dólar norteamericano), entre enero de 1995 y septiembre de 2010. Para ello se utiliza la metodología Hinich Portmanteau, la cual utiliza una prueba de alta frecuencia para detectar episodios de dependencia no lineal, por medio de funciones ventana. Se proporciona una explicación de los sucesos económicos y políticos que pudieron haber provocado que el tipo de cambio tuviera un comportamiento no lineal. La detección de episodios no lineales puede ayudar a explicar la dificultad para pronosticar este tipo de series

COVID-19 e causalidade na volatilidade do mercado acionário chileno

In this research, the unidirectional Granger causality is studied from the Infectious Disease Equity Market Volatility Tracker index towards the volatility of the Chilean stock market, which is modeled through a conditional autoregressive procedure. Three causality tests are applied and, in a complementary way, the cross-bicorrelation test. The results indicate that this index causes market volatility with most of the tests applied. This indicates the potential relevance of having this new indicator for agents that participate in financial markets, including regulators, companies, and brokers. Additionally, the results are consistent with the evidence on the predictive capacity of this index on oil price volatility and other indices.En esta investigación se estudió la causalidad en el sentido unidireccional de Granger, desde el índice Infectious Disease Equity Market Volatility Tracker hacia la volatilidad del mercado accionario chileno, la cual se modela por un procedimiento autorregresivo condicional. Se aplican tres pruebas de causalidad y, de manera complementaria, la prueba de bicorrelación cruzada. Los resultados indican que este índice causa la volatilidad del mercado con la mayoría de las pruebas aplicadas. Esto señala la potencial relevancia de contar con este nuevo indicador para los agentes que participan en los mercados financieros, entre ellos reguladores, compañías y corredores. Adicionalmente, los resultados son congruentes con la evidencia sobre la capacidad predictiva del índice sobre la volatilidad del precio del petróleo y otros índices.Nesta pesquisa, a causalidade no sentido de Granger unidirecional foi estudada, desde o Infectious Disease Equity Market Volatility Tracker até a volatilidade do mercado acionário chileno, que é modelado por um procedimento autorregressivo condicional. Aplicam-se três testes de causalidade e, de forma complementar, o teste de bicorrelação cruzada. Os resultados indicam que esse índice causa volatilidade no mercado com a maioria dos testes aplicados. Isso indica a relevância potencial de ter este novo indicador para os agentes que participam dos mercados financeiros, incluindo reguladores, empresas e corretoras de valores. Adicionalmente, os resultados são consistentes com a evidência sobre a capacidade preditiva do índice sobre a volatilidade do preço do petróleo e outros índices

Non-Linear Multivariate Dependence between the Mexican Stock Market Index and the Exchange Rate: Efficiency Hypothesis and Political Cycle in Mexico (1994-2012)

Este trabajo utiliza una extensión multivariante de la prueba no paramétrica de no linealidad de Hinich (1991) con el objetivo de investigar si existe una relación no lineal entre el índice de la Bolsa Mexicana de Valores (IPC) y el tipo de cambio peso/dólar medida a través de la correlación cruzada y la bicorrelación cruzada en el periodo 1994-2012 durante tres subperíodos de administración presidencial. Este método divide la muestra en ventanas y proporciona información sobre la dependencia no lineal. El principal hallazgo es que no se detectan ventanas de correlación cruzada significativas. No obstante se observan ventanas de tiempo con una bicorrelación cruzada significativa, lo que sugiere una relación no lineal y bidireccional entre las series. Este trabajo concluye que para los tres subperíodos de administración presidencial ambas series mantienen la misma relación no lineal y bidireccional para cualquier cambio en el gobierno con ventanas significativas concentradas al principio del período presidencial sin importar el partido gobernante. Por último es importante destacar que los períodos no lineales bidireccionales se concentraron a mediados del último período presidencial mexicano, lo que indica que los factores financieros externos y económicos globales afectaron esta relación.This paper uses a multivariate extension of the non-parametric nonlinearity test from Hinich (1991) with the objective of investigating whether there is a nonlinear relation between the index of The Mexican Stock Exchange (IPC) and the peso/dollar exchange rate measured through the Cross-correlation and cross-correlation in the period 1994-2012 for three sub-periods of presidential administration. This method divides the sample into windows and provides information on nonlinear dependency. The main finding is that no significant cross-correlation windows are detected. However, time windows are observed with a significant cross bicorrelation, which suggests a non-linear and bidirectional relationship between the series. This paper concludes that for the three sub-periods of presidential administration both series maintain the same nonlinear and bidirectional relation for any change in the government with significant windows concentrated at the beginning of the presidential period regardless of the ruling party. Finally, It is important to note that the non-linear bidirectional periods were concentrated in the middle of the last Mexican presidential period, indicating that global external and economic financial factors affected this relationship.

Inversión extranjera directa y medio ambiente

En el presente trabajo se analiza la literatura referente a la relación entre la inversión extranjera directa y el medio ambiente, en distintos aspectos; asimismo se revisan algunos instrumentos de política ambiental que los gobiernos implementan para coordinar de manera integral el desarrollo económico. Finalmente, se estudia lo que resulta de la aplicación de tales controles ambientales en el contexto de la ied, a través de modelos teóricos contemporáneos

Innovaciones financieras en América Latina: mercados de derivados y determinantes de la administración de riesgo

This paper is aimed at examining the theoretical determinants and empirical evidence on the use of derivatives in Latin America for risk management. The contingent claims, the development of their market, and their use, is undoubtedly one of the most powerful financial innovations available to individuals and businesses. It is shown that though Latin American firms use derivatives, there is a lack of research to understand its determinants. The causes and incentives for the development of the Chilean derivatives market are investigated, concluding that its development could not take off in exchanges; however, the OTC market has shown a healthy development. Finally, goals and challenges for Latin American countries are stated and potential research ideas to fill the gap on empirical aspects of risk management in these economies are proposed

Innovaciones financieras en América Latina: mercados de derivados y determinantes de la administración de riesgo

This paper is aimed at examining the theoretical determinants and empirical evidence on the use of derivatives in Latin America for risk management. The contingent claims, the development of their market, and their use, is undoubtedly one of the most powerful financial innovations available to individuals and businesses. It is shown that though Latin American firms use derivatives, there is a lack of research to understand its determinants. The causes and incentives for the development of the Chilean derivatives market are investigated, concluding that its development could not take off in exchanges; however, the OTC market has shown a healthy development. Finally, goals and challenges for Latin American countries are stated and potential research ideas to fill the gap on empirical aspects of risk management in these economies are proposed