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Interdependencia de los mercados de valores en el mundo

Author

Listed:
  • Elena Moreno García.

    (Universidad Cristóbal Colón.)

  • Daniel Vázquez Cotera.

    (Universidad Cristóbal Colón.)

  • Sergio Hernández Mejía

    (Universidad Cristóbal Colón.)

  • Luis Alberto Larios Ojeda

    (HSCB)

Abstract

Se presenta el análisis de los rendimientos de los mercados de valores de mayor capitalización en el mundo por zona horaria para el período 2009-2015, incluyendo a la Bolsa Mexicana de Valores. Se utilizó la prueba de causalidad de Granger para identificar al mercado líder y encontrar un orden con base en la exogeneidad de cada mercado. Se empleó el modelo de vectores autorregresivos con sus respectivas pruebas de simulación: el análisis impulso-respuesta y la descomposición de la varianza del error de pronóstico para comprobar la rapidez de adaptación, la respuesta de los mercados ante movimientos externos y la proporción de dichos cambios que se atribuye a cada mercado. Se halló evidencia de fuerte interdependencia entre las bolsas, rapida respuesta a movimientos externos y liderazgo del mercado estadounidense.

Suggested Citation

  • Elena Moreno García. & Daniel Vázquez Cotera. & Sergio Hernández Mejía & Luis Alberto Larios Ojeda, 2015. "Interdependencia de los mercados de valores en el mundo," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, vol. 43(2), pages 155-181, Julio-Dic.
    • Handle: RePEc:ety:journl:v:43:y:2015:i:2:p:155-181
    DOI: 10.24275/ETYPUAM/NE/432015/Moreno
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    More about this item

    Keywords

    bolsas de valores; capitalización; mercados financieros internacionales; interdependencia; impactos externos.;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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