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Spillovers entre los principales Mercados Accionarios de Latinoamérica, Estados Unidos y el Mercado Petrolero

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Listed:
  • Domingo Rodríguez Benavides

    (Universidad Autónoma Metropolitana, México)

  • Nancy Muller Durán

    (Universidad Nacional Autónoma de México, México)

  • José Antonio Climent Hernández

    (Universidad Autónoma Metropolitana, México)

Abstract

El presente artículo analiza los spillovers tanto en los rendimientos como entre sus volatilidades existentes entre el precio internacional del petróleo y los principales mercados bursátiles de América Latina y Estados Unidos. Con base en la metodología de Diebold y Yilmaz (2009, 2012), construimos un índice de spillovers (IS) para los rendimientos y otro para las volatilidades. Los resultados muestran que el primer índice tiene mayores efectos en comparación con lo obtenido por el segundo y que existe una interdependencia débil entre los rendimientos de los mercados bursátiles analizados y los del mercado petrolero.

Suggested Citation

  • Domingo Rodríguez Benavides & Nancy Muller Durán & José Antonio Climent Hernández, 2021. "Spillovers entre los principales Mercados Accionarios de Latinoamérica, Estados Unidos y el Mercado Petrolero," 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(1), pages 1-18, Enero - M.
    • Handle: RePEc:imx:journl:v:16:y:2021:i:1:a:7
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    References listed on IDEAS

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    More about this item

    Keywords

    Descomposición de la varianza; rendimientos accionarios; Spillovers;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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