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Dependencia Estructural en los mercados Bursátiles de Colombia y Estados Unidos, una aproximación usando cópulas

Listed author(s):
  • Daiver Cardona Salgado


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    Para determinar la dependencia estructural entre los mercados bursátiles colombiano y estadounidense, se usaron las pérdidas de los índices Col20, Dow Jones y Standard & Poors 500 como variables. La metodología desarrollada siguió los lineamientos de los modelos de dinámica multivariados, basados en la cópula y propuestos por Chen y Fan (2006). Se encontró que los dos mercados presentan una moderada dependencia y que, de acuerdo con el modelo CAPM, el riesgosistemático que comparten es bajo y ofrecen posibilidades de diversificación. Además, se encontró que es baja la probabilidad de que ambos mercados experimenten pérdidas extremas conjuntamente.

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    Article provided by UN - RCE - CID in its journal REVISTA CUADERNOS DE ECONOMÍA.

    Volume (Year): (2012)
    Issue (Month): (August)

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    Handle: RePEc:col:000093:010246
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