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Economía: teoría y práctica
On-line version ISSN 2448-7481Print version ISSN 0188-3380
Abstract
SOSA CASTRO, Magnolia Miriam; BUCIO PACHECO, Christian and CABELLO ROSALES, Alejandra. Contagion and Stock Interdependence in the BRIC+M Block. Econ: teor. práct [online]. 2018, n.48, pp.173-196. ISSN 2448-7481. https://doi.org/10.24275/etypuam/ne/482018/sosa.
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.
Keywords : Contagion Effect; Stock Dependence; BRIC+M block; G15; C58; D53.