Abstract

BUCIO PACHECO, Christian; JESUS GUTIERREZ, Raúl de  and  SOSA CASTRO, Magnolia Miriam. Contagion effect in NAFTA stock markets from 2000 to 2016: A dynamic copula approach. EconoQuantum [online]. 2019, vol.16, n.2, pp.65-87.  Epub Mar 17, 2020. ISSN 2007-9869.

This paper aims to analyze the dependence relation among NAFTA markets in order to prove contagion effect. A dynamic copula approach is employed using rolling window estimation. The sample period is from 2000 to 2016, taking three periods of 15 years each one, using three different size of window: a) 2000-2014 with a window of two years and seven months, b) 2001-2015 employing a window size of one year and seven months y c) 2002-2016 with a seven months window. All periods are divided in three intervals of five years: pre-crisis, crisis and post-crisis. Results show strong evidence about contagion effect during the Global Financial Crisis period.

Keywords : Contagion; dependence; dynamic copula approach.

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