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1 juin 2018
- handle: 10670/1.o62evj
Ce document est lié à :
10.24275/etypuam/ne/482018/sosa
info:eu-repo/semantics/openAccess
Mots-clés
Contagion Effect Stock Dependence BRIC+M block G15 C58 D53Sujets proches
Exchanges, Securities Stock-exchange Securities exchanges Equity markets Commercial corners Stock markets Bulls and bears Corners, Commercial Exchanges, Stock Papers Public markets Proof Relations--Foreign countries Relations (Canon law)Citer ce document
Magnolia Miriam Sosa Castro et al., « Contagion and Stock Interdependence in the BRIC+M Block », Economía: teoría y práctica, ID : 10670/1.o62evj
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Résumé
: 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.