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Contagion and Stock Interdependence in the BRIC+M Block

Author

Listed:
  • Magnolia Miriam Sosa Castro

    (Universidad Nacional Autónoma de México.)

  • Christian Bucio Pacheco

    (Universidad Autónoma del Estado de México.)

  • Alejandra Cabello Rosales

    (Universidad Nacional Autónoma de México.)

Abstract

This paper aims to analyze the contagion effect among the stock markets of the BRIC+M block (Brazil, Russia, India, China plus Mexico). The contagion effect is proved through increases on dependence parameters during crisis periods. The dependence parameters are estimated through a dynamic bivariate copula approach for the period July 1997 to December 2015. During this period there were instability and calm episodes, which allow analyzing changes in the relations of dependence. Empirical results show strong evidence of time-varying dependence among the BRIC+M markets and an increasing dependence relation during the global financial crisis period.

Suggested Citation

  • Magnolia Miriam Sosa Castro & Christian Bucio Pacheco & Alejandra Cabello Rosales, 2018. "Contagion and Stock Interdependence in the BRIC+M Block," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, vol. 48(1), pages 173-196, Enero-Jun.
    • Handle: RePEc:ety:journl:v:48:y:2018:i:1:p:173-196
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    References listed on IDEAS

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    More about this item

    Keywords

    Contagion Effect; Stock Dependence; BRIC+M block.;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets

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