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Dependencia de los mercados de valores de Argentina, Brasil y México respecto del estadounidense: Covid19 y otras crisis financieras recientes

Author

Listed:
  • Domingo Rodríguez Benavides

    (Universidad Autónoma Metropolitana, México)

  • César Gurrola Ríos

    (Universidad Juárez del Estado de Durango, México)

  • Francisco López Herrera

    (Universidad Nacional Autónoma de México, México)

Abstract

Este artículo muestra el análisis efectuado para comparar la estructura de dependencia de la caída de los rendimientos accionarios de los mercados de los tres países más grandes de América Latina (Argentina, Brasil y México) en los rendimientos del mercado de valores estadounidense. Se compara la caída propiciada por el surgimiento de la pandemia de Covid-19 con otros episodios de crisis financieras acaecidas a partir de la última década del siglo XX. Mediante cópulas bivariadas de Clayton con regímenes conducidos por cambios markovianos, se estudia el grado de la dependencia en la cola inferior de la distribución, encontrando patrones distintos de dependencia que sugieren que los mercados de Brasil y México son más dependientes que el argentino. Una limitante es que no termina aún la recuperación económica derivada de la pandemia, por lo que los resultados en relación con los efectos de la Covid-19 podráan considerarse sólo como provisionales, sin embargo, este artículo contribuye a entender cómo ha sido el proceso de globalización y las posibles consecuencias para la internacionalización de los mercados bursátiles latinoamericanos y la inversión en la región, incluyendo la de portafolio.

Suggested Citation

  • 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.
    • Handle: RePEc:imx:journl:v:16:y:2021:i:3:a:6
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    References listed on IDEAS

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    More about this item

    Keywords

    Covid-19; mercados accionarios; caídas bursátiles; cópula Clayton; cambios markovianos;
    All these keywords.

    JEL classification:

    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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