Resumo

TELLEZ GAYTAN, Jesús Cuauhtémoc  e  LOPEZ SARABIA, Pablo. Comovimiento entre mercados accionarios de América Latina y Estados Unidos: Un enfoque de wavelets. Econ: teor. práct [online]. 2010, n.32, pp.55-82. ISSN 2448-7481.

This document aims to analyze correlation structure among American equity indices such as S & P500 and DJIA, in addition to the Latin American equity indices such as Mexico's IPC, Brazil's IBovespa and Argentina's Merval, at different resolution levels and time scales that is possible with wavelets approach, against the traditional approach related to a global analysis of time series. The time-scale decomposition of correlation is performed by decomposing equity indices returns using the maximal overlap discrete wavelet transform and the least asymmetric LA (8) Daubechies wavelet as filtering function. Results show a non-homogeneous correlation pattern among equity markets at different time scales: in some cases correlation showed a strong relationship at short-time scales duration and in others it showed a weaker one at long-time scales duration. The importance of this document concerns with asset allocation when making decisions in which market to invest and different time horizons, in such a way to perform efficient portfolio diversifications.

Palavras-chave : wavelet transform; multiresolution decomposition; correlation; diversification; equity market.

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