Resumen

LOPEZ HERRERA, Francisco; SANTILLAN SALGADO, Roberto J.  y  CRUZ AKE, Salvador. Volatility dependence structure between the Mexican Stock Exchange and the World Capital Market. Inv. Econ [online]. 2015, vol.74, n.293, pp.69-97. ISSN 0185-1667.  https://doi.org/10.1016/j.inveco.2015.06.001.

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.

Palabras llave : volatility dependence; Mexican Stock Exchange; World Capital Market; multivariate GARCH; copula analysis.

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