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Spillovers entre el S&Poor500 y los principales EMBIG latinoamericanos

Author

Listed:
  • Francisco López-Herrera

    (Universidad Nacional Autónoma de México, México)

  • Domingo Rodríguez Benavides

    (Universidad Autónoma Metropolitana, México)

  • César Gurrola Ríos

    (Universidad Juárez del Estado de Durango, México)

Abstract

En este trabajo se realiza un análisis de los efectos de derrame (spillover ) entre los rendimientos accionarios de Estados Unidos y los cambios en los índices EMBI Global de Argentina, Brasil, Colombia, México y Perú. Se estima un índice del spillover total que muestra alzas importantes a principios de siglo y durante la crisis financiera mundial. Al descomponer dicho índice en sus componentes direccionales se observa que las principales fuentes de spillover entre los mercados analizados son el mercado accionario de Estados Unidos y el índice de los bonos brasileños. También es de destacarse que los principales receptores de efectos derrame son los índices de los bonos de Perú y México, en tanto que el índice de los bonos argentinos son los menos afectados por los choques externos.

Suggested Citation

  • Francisco López-Herrera & Domingo Rodríguez Benavides & César Gurrola Ríos, 2019. "Spillovers entre el S&Poor500 y los principales EMBIG latinoamericanos," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(PNEA), pages 527-540, Agosto 20.
    • Handle: RePEc:imx:journl:v:14:y:2019:i:pnea:p:527-540
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    Cited by:

    1. Domingo Rodríguez Benavides & César Gurrola Ríos & Francisco López Herrera, 2021. "Dependencia de los mercados de valores de Argentina, Brasil y México respecto del estadounidense: Covid19 y otras crisis financieras recientes," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(3), pages 1-18, Julio - S.

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    More about this item

    Keywords

    spillover; derrames; EMBI; S&P500; bonos soberanos;
    All these keywords.

    JEL classification:

    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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