Volatility dependence structure between the Mexican Stock Exchange and the World Capital Market

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• 作者：Francisco Ló ; pez Herrera^a ; ^{francisco_lopez_herrera@yahoo.com.mx" class="auth_mail" title="E-mail the corresponding author} ; Roberto J. Santill&aacute ; n Salgado^b ; ^{roberto.santillan@itesm.mx" class="auth_mail" title="E-mail the corresponding author} ; Salvador Cruz Ake^c ; ^{salvador.ake22@gmail.com" class="auth_mail" title="E-mail the corresponding author}
• 关键词：volatility dependence ; Mexican Stock Exchange ; World Capital Market ; multivariate GARCH ; copula analysis
• 刊名：Investigación Económica
• 出版年：2015
• 出版时间：July-September 2015
• 年：2015
• 卷：74
• 期：293
• 页码：69-97
• 全文大小：385 K

文摘

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 analysis (1987-2012). The analytical approach begins with the estimation of a bivariate VECM in 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.