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The dependence of the Price and Quotation Index of the Mexican Stock Exchange (IPC) with respect to the main Latin American stock market indices

Author

Listed:
  • Roberto Joaquín Santillán Salgado

    (Instituto Tecnológico y de Estudios Superiores de Monterrey, México)

  • César Gurrola Ríos

    (Universidad Juárez del Estado de Durango, México)

  • Francisco Venegas Martínez

    (Instituto Politécnico Nacional, México)

  • Ana Lorena Jiménez Preciado

    (Instituto Politécnico Nacional, México)

Abstract
The intensity and speed with which the effects of monetary and fiscal policy are transmitted from one financial market to another is of paramount importance to accurately calibrate the decisions of the responsible authorities. Similarly, the effects caused by unexpected shocks in a given market on the behavior of financial asset prices in other markets requires a better understanding of the nature of the response. However, the bulk of published studies on this subject have employed methodologies that assume a normal distribution of the yields and, for that reason, its results are questionable. Although in recent years robust non-normality methodologies have been used, there is still much work to be done. This article contributes to the study of the dependency between the indices of four Latin American stock exchanges (the CPI for Mexico, the IPSA for Chile, the IBOVESPA for Brazil, and the MERVAL for Argentina) through a Copula Analysis methodology. The main contribution of this study with respect to previous work is to obtain the level of dependence on the queues for the pairs of indices formed by the CPI of Mexico and each of the other three Latin American indices of the sample.

Suggested Citation

  • Roberto Joaquín Santillán Salgado & César Gurrola Ríos & Francisco Venegas Martínez & Ana Lorena Jiménez Preciado, 2018. "The dependence of the Price and Quotation Index of the Mexican Stock Exchange (IPC) with respect to the main Latin American stock market indices," Contaduría y Administración, Accounting and Management, vol. 63(4), pages 19-20, Octubre-D.
    • Handle: RePEc:nax:conyad:v:63:y:2018:i:4:p:19-20
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    References listed on IDEAS

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