<?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>S1665-53462021000500003</article-id>
<article-id pub-id-type="doi">10.21919/remef.v16i0.701</article-id>
<title-group>
<article-title xml:lang="es"><![CDATA[Contagio en la volatilidad entre los mercados de capital y de divisas en México y Brasil (2000-2020)]]></article-title>
<article-title xml:lang="en"><![CDATA[Volatility Contagion between Stock Market and Exchange Rate in Mexico and Brazil (2000-2020)]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[López Villa]]></surname>
<given-names><![CDATA[Jorge]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Sosa Castro]]></surname>
<given-names><![CDATA[Miriam]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad Autónoma Metropolitana  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>00</month>
<year>2021</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>00</month>
<year>2021</year>
</pub-date>
<volume>16</volume>
<numero>spe</numero>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S1665-53462021000500003&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S1665-53462021000500003&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S1665-53462021000500003&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen Se analiza el contagio en volatilidad entre los mercados cambiarios y de valores en México y Brasil de enero/2000 a noviembre/2020. La metodología incluye modelos GARCH univariados: GARCH, APARCH, EGARCH y TARCH para el análisis de la volatilidad de las series y modelos multivariados GARCH: DCC y ADCC, para medir los co-movimientos de la volatilidad condicional del mercado de capitales y cambiario, permitiendo determinar la existencia de contagio. Se observa que, en el mercado brasileño, la correlación es más fuerte y estable que en el mercado mexicano, confirmando, al menos un periodo de contagio en cada economía. Las recomendaciones que se desprenden es que, durante periodos de inestabilidad se deben realizar estrategias de cobertura cambiaria o, mantener las posiciones hasta que haya recuperación en los mercados. Las limitaciones es que únicamente se incluyen dos economías latinoamericanas, por lo que, no se analiza el efecto regional. La originalidad radica en la propuesta empírica, el estudio de economías emergentes, que han sido escasamente analizadas, así como, en el aporte de información crucial para las estrategias de diversificación y cobertura de riesgos.]]></p></abstract>
<abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract This paper analyzes volatility contagion between exchange and stock market in Mexico and Brazil during the period January/2000- November/2020. The methodology includes univariate GARCH models under t-Student distribution: GARCH, APARCH, EGARCH and TARCH to examine the conditional volatility in each series and multivariate GARCH: DCC and ADCC to investigate volatility co-movements between exchange rate and stock market. A contagion effect is confirmed, at least during one period, for each economy. Findings suggest that, investors should apply exchange rate hedges during uncertainty periods or hold positions until the markets recover. Among the limitations, only two markets are covered, excluding the regional analysis. Originality relies on the empirical proposal, the emergent economies, scarcely analyzed, which are investigated and the value of the results in terms of diversification and hedging strategies.]]></p></abstract>
<kwd-group>
<kwd lng="es"><![CDATA[Volatilidad cambiaria]]></kwd>
<kwd lng="es"><![CDATA[volatilidad mercado de capitales]]></kwd>
<kwd lng="es"><![CDATA[contagio en volatilidades]]></kwd>
<kwd lng="es"><![CDATA[México]]></kwd>
<kwd lng="es"><![CDATA[Brasil]]></kwd>
<kwd lng="es"><![CDATA[DCC-GARCH]]></kwd>
<kwd lng="en"><![CDATA[Foreign Exchange Volatility]]></kwd>
<kwd lng="en"><![CDATA[Stock Market Volatility]]></kwd>
<kwd lng="en"><![CDATA[Volatility Contagion]]></kwd>
<kwd lng="en"><![CDATA[Mexico]]></kwd>
<kwd lng="en"><![CDATA[Brazil]]></kwd>
<kwd lng="en"><![CDATA[DCC-GARCH]]></kwd>
</kwd-group>
</article-meta>
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