<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>0186-1042</journal-id>
<journal-title><![CDATA[Contaduría y administración]]></journal-title>
<abbrev-journal-title><![CDATA[Contad. Adm]]></abbrev-journal-title>
<issn>0186-1042</issn>
<publisher>
<publisher-name><![CDATA[Universidad Nacional Autónoma de México, Facultad de Contaduría y Administración]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S0186-10422015000600083</article-id>
<article-id pub-id-type="doi">10.1016/j.cya.2015.08.013</article-id>
<title-group>
<article-title xml:lang="es"><![CDATA[Cointegración entre las principales bolsas de Europa continental en presencia de rompimientos estructurales (1999-2014)]]></article-title>
<article-title xml:lang="en"><![CDATA[European stock markets' cointegration in the presence of structural breaks (1999-2014)]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Santillán Salgado]]></surname>
<given-names><![CDATA[Roberto Joaquín]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Escobar Saldivar]]></surname>
<given-names><![CDATA[Luis Jacob]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Gurrola Ríos]]></surname>
<given-names><![CDATA[César]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="A01">
<institution><![CDATA[,ITESM Campus Monterrey ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<aff id="A02">
<institution><![CDATA[,Universidad Juárez del Estado de Durango  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>México</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>12</month>
<year>2015</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>12</month>
<year>2015</year>
</pub-date>
<volume>60</volume>
<fpage>83</fpage>
<lpage>105</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S0186-10422015000600083&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S0186-10422015000600083&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S0186-10422015000600083&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="es"><p><![CDATA[El objetivo principal de este trabajo es determinar si existe una relación de convergencia de largo plazo entre los cuatro mayores mercados bursátiles de Europa continental y evaluar, al mismo tiempo, el impacto que la volatilidad en uno de ellos tiene sobre el resto. La muestra incluye los mercados de París, Frankfurt, Milán, y Madrid, durante un periodo de importantes cambios en el entorno económico y, en particular, episodios de intensa turbulencia. El enfoque metodológico consiste en la construcción de un modelo capaz de representar los índices bursátiles de los cuatro mercados, para caracterizar su comportamiento histórico mediante técnicas econométricas. El estudio parte de la confirmación de que el comportamiento en el tiempo de los índices bursátiles estudiados no es estacionario en presencia de rupturas estructurales. Validada la evidencia de raíces unitarias, se lleva a cabo un análisis de cointegración de los logaritmos naturales de los índices estudiados y se demuestra la existencia de, al menos, un vector cointegrante. En seguida, se procedió a modelar el comportamiento de las series a través de un modelo de Vectores de Corrección de Errores (VECM), cuyos resultados presentaron problemas de heteroscedasticidad en los residuales, por lo que se recurrió a modelos de la familia GARCH para capturar la complejidad de los factores que determinan ese comportamiento. Efectivamente, una vez incorporado el fenómeno de heteroscedasticidad en el modelado, es posible pasar a la interpretación de los coeficientes del modelo y de la relación compartida de largo plazo entre las series.]]></p></abstract>
<abstract abstract-type="short" xml:lang="en"><p><![CDATA[The main objective of this work is to determine if there is a long-term convergence relationship among the four largest markets in continental Europe. The sample includes the markets of Paris, Frankfurt, Milan and Madrid during a period of important changes in the economic environment and, in particular, episodes of intense turbulence. The methodological approach used consists in the construction of a model capable of representing the levels of the stock markets of the four markets and of characterizing their historical behavior with the use of econometric techniques. The study begins with the confirmation that the behavior thorough time of the stock market indices studied is not stationary in the presence of structural breaks. After confirming the evidence of unitary roots, a cointegration analysis of the natural logarithms of the indices is performed, confirming the existence of, at least, one cointegrating vector. Next, the behavior of the series was modeled with a Vector Errors Correction Model (VECM). The results of the model presented heteroscedasticity problems, so a GARCH family model was used to capture the complexity of the factors that determine that behavior. In effect, once heteroscedasticity was modeled, it is possible to proceed with the interpretation of the coefficients of the model, as well as the nature of the long-term relationship among the series.]]></p></abstract>
<kwd-group>
<kwd lng="en"><![CDATA[Equity markets integration]]></kwd>
<kwd lng="en"><![CDATA[European Union]]></kwd>
<kwd lng="en"><![CDATA[Cointegration in presence of structural breaks]]></kwd>
<kwd lng="es"><![CDATA[Integración de mercados de capital]]></kwd>
<kwd lng="es"><![CDATA[Unión Europea]]></kwd>
<kwd lng="es"><![CDATA[Cointegración en presencia de rupturas estructurales]]></kwd>
</kwd-group>
</article-meta>
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</back>
</article>
