<?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>1665-5346</journal-id>
<journal-title><![CDATA[Revista mexicana de economía y finanzas]]></journal-title>
<abbrev-journal-title><![CDATA[Rev. mex. econ. finanz]]></abbrev-journal-title>
<issn>1665-5346</issn>
<publisher>
<publisher-name><![CDATA[Instituto Mexicano de Ejecutivos de Finanzas A.C.]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S1665-53462017000100091</article-id>
<title-group>
<article-title xml:lang="en"><![CDATA[Non-Linear Multivariate Dependence between the Mexican Stock Market Index and the Exchange Rate: E&#64259;ciency Hypothesis and Political Cycle in Mexico (1994-2012)]]></article-title>
<article-title xml:lang="es"><![CDATA[Dependencia multivariante no lineal entre el Índice de Precios y Cotizaciones de la Bolsa Mexicana de Valores y el tipo de cambio: Hipótesis de eficiencia y ciclo político en México (1994-2012)]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Coronado Ramírez]]></surname>
<given-names><![CDATA[Semei Lepoldo]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Romero-Meza]]></surname>
<given-names><![CDATA[Rafael]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Venegas-Martínez]]></surname>
<given-names><![CDATA[Francisco]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad de Guadalajara Centro Universitario de Ciencias Economice Administrativas Departamento de Métodos Cuantitativos]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<aff id="Af2">
<institution><![CDATA[,Universidad Autónoma de Chile Facultad de Administración y Negocios ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Chile</country>
</aff>
<aff id="Af3">
<institution><![CDATA[,Instituto Politécnico Nacional Escuela Superior de Economía ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>03</month>
<year>2017</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>03</month>
<year>2017</year>
</pub-date>
<volume>12</volume>
<numero>1</numero>
<fpage>91</fpage>
<lpage>102</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S1665-53462017000100091&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S1665-53462017000100091&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S1665-53462017000100091&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract This paper uses a multivariate extension of the non-parametric nonlinearity test from Hinich (1991) with the objective of investigating whether there is a nonlinear relation between the index of The Mexican Stock Exchange (IPC) and the peso/dollar exchange rate measured through the Cross-correlation and cross-correlation in the period 1994-2012 for three sub-periods of presidential administration. This method divides the sample into windows and provides information on nonlinear dependency. The main finding is that no significant cross-correlation windows are detected. However, time windows are observed with a significant cross bicorrelation, which suggests a non-linear and bidirectional relationship between the series. This paper concludes that for the three sub-periods of presidential administration both series maintain the same nonlinear and bidirectional relation for any change in the government with significant windows concentrated at the beginning of the presidential period regardless of the ruling party. Finally, It is important to note that the non-linear bidirectional periods were concentrated in the middle of the last Mexican presidential period, indicating that global external and economic financial factors a&#64256;ected this relationship.  JEL Classification:  F31, C02, C12.]]></p></abstract>
<abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen Este trabajo utiliza una extensión multivariante de la prueba no paramétrica de no linealidad de Hinich (1991 con el objetivo de investigar si existe una relación no lineal entre el índice de la Bolsa Mexicana de Valores (IPC) y el tipo de cambio peso/dólar medida a través de la correlación cruzada y la bicorrelación cruzada en el periodo 1994-2012 durante tres subperíodos de administración presidencial. Este método divide la muestra en ventanas y proporciona información sobre la dependencia no lineal. El principal hallazgo es que no se detectan ventanas de correlación cruzada significativas. No obstante se observan ventanas de tiempo con una bicorrelación cruzada significativa, lo que sugiere una relación no lineal y bidireccional entre las series. Este trabajo concluye que para los tres subperíodos de administración presidencial ambas series mantienen la misma relación no lineal y bidireccional para cualquier cambio en el gobierno con ventanas significativas concentradas al principio del periodo presidencial sin importar el partido gobernante. Por último es importante destacar que los períodos no lineales bidireccionales se concentraron a mediados del último periodo presidencial mexicano, lo que indica que los factores financieros externos y económicos globales afectaron esta relación.  Clasificación JEL:  F31, C02, C12.]]></p></abstract>
<kwd-group>
<kwd lng="en"><![CDATA[Multivariate Non-Linear Models]]></kwd>
<kwd lng="en"><![CDATA[Mexican Stock Market]]></kwd>
<kwd lng="en"><![CDATA[Cross-Bicorrelation Hinich Test]]></kwd>
<kwd lng="en"><![CDATA[Foreign Exchange Rate]]></kwd>
<kwd lng="es"><![CDATA[Modelos Multivariantes no Lineales]]></kwd>
<kwd lng="es"><![CDATA[Bolsa Mexicana de Valores]]></kwd>
<kwd lng="es"><![CDATA[Prueba de Bicorrelación Cruzda de Hinich]]></kwd>
<kwd lng="es"><![CDATA[Tipo de cambio]]></kwd>
</kwd-group>
</article-meta>
</front><back>
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