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La dependencia del Índice de Precios y Cotizaciones de la Bolsa Mexicana de Valores (IPC) con respecto a los principales índices bursátiles latinoamericanos

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

La intensidad y velocidad con la cual se transmiten los efectos de la política monetaria y fiscal de un mercado financiero a otro es de primordial importancia para calibrar con precisión las decisiones de las autoridades responsables. De manera similar, los efectos provocados por shocks inesperados en un mercado sobre el comportamiento de los precios de los activos financieros de otros mercados requieren una mejor comprensión de la naturaleza de la respuesta. Sin embargo, la mayoría de los estudios publicados sobre este tema han empleado metodologías que asumen normalidad en la distribución de los rendimientos y, por esa razón, sus resultados son cuestionables. Aunque en años recientes se han comenzado a utilizar metodologías robustas a la no-normalidad, aún falta mucho trabajo por realizar. Este artículo contribuye al estudio de la dependencia entre los índices de cuatro bolsas de valores latinoamericanas (el IPC de México, el IPSA de Chile, el IBOVESPA de Brasil, y el MERVAL de Argentina) mediante la metodología de Análisis de Cópulas. La principal contribución de este estudio con respecto a trabajos anteriores es la obtención del nivel de dependencia de las colas para los pares de índices formados por el IPC de México y cada uno de los otros tres índices latinoamericanos de la muestra.

Suggested Citation

  • Roberto Joaquín Santillán Salgado & César Gurrola Ríos & Francisco Venegas Martínez & Ana Lorena Jiménez Preciado, 2018. "La dependencia del Índice de Precios y Cotizaciones de la Bolsa Mexicana de Valores (IPC) con respecto a los principales índices bursátiles latinoamericanos," Contaduría y Administración, Accounting and Management, vol. 63(4), pages 17-18, Octubre-D.
    • Handle: RePEc:nax:conyad:v:63:y:2018:i:4:p:17-18
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    References listed on IDEAS

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