Abstract

RODRIGUEZ BENAVIDES, Domingo; GURROLA RIOS, César  and  LOPEZ HERRERA, Francisco. Dependence of the stock markets of Argentina, Brazil and Mexico with respect to the U.S.: Covid19 and other recent financial crises. Rev. mex. econ. finanz [online]. 2021, vol.16, n.3, e652.  Epub May 02, 2022. ISSN 2448-6795.  https://doi.org/10.21919/remef.v16i3.652.

This paper compares the dependency structure of the fall of equity returns in the three largest Latin American countries´stock markets. The fall caused by the emergence of the Covid-19 pandemic is compared with other episodes of financial crises that occurred since the last decade of the 20th century. Using bivariate Clayton copulas with regimes driven by Markovian changes, the degree of dependence in the lower tail of the distribution is studied, finding different patterns of dependence that suggest that the markets of Brazil and Mexico are more dependent than the Argentinean. A limitation is that the economic recovery derived from the pandemic has not yet ended, so the results in relation to the effects of Covid-19 could only be considered provisional. However, this article contributes to understanding the process of globalization and the possible consequences for the Latin American stock markets’ internationalization and the investment in the region, including portfolio investment.

Keywords : Covid-19; stock markets; stock market crashes; Clayton copula; markovian switching.

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