IDEAS home Printed from https://ideas.repec.org/a/ety/journl/v48y2018i1p173-196.html
   My bibliography  Save this article

Contagion and Stock Interdependence in the BRIC+M Block

Author

Listed:
  • Magnolia Miriam Sosa Castro

    () (Universidad Nacional Autónoma de México.)

  • Christian Bucio Pacheco

    () (Universidad Autónoma del Estado de México.)

  • Alejandra Cabello Rosales

    () (Universidad Nacional Autónoma de México.)

Abstract

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.

Suggested Citation

  • Magnolia Miriam Sosa Castro & Christian Bucio Pacheco & Alejandra Cabello Rosales, 2018. "Contagion and Stock Interdependence in the BRIC+M Block," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, vol. 48(1), pages 173-196, Enero-Jun.
  • Handle: RePEc:ety:journl:v:48:y:2018:i:1:p:173-196
    as

    Download full text from publisher

    File URL: http://economiatyp.uam.mx/index.php/ETYP/article/view/320
    Download Restriction: no

    References listed on IDEAS

    as
    1. Shen, Pei-Long & Li, Wen & Wang, Xiao-Ting & Su, Chi-Wei, 2015. "Contagion effect of the European financial crisis on China's stock markets: Interdependence and pure contagion," Economic Modelling, Elsevier, vol. 50(C), pages 193-199.
    2. Krishna Reddy Chittedi*, 2014. "Global financial crisis and contagion: evidence for the Ebrici economies," Journal of Developing Areas, Tennessee State University, College of Business, vol. 48(4), pages 243-264, October-D.
    3. Romero-Meza, Rafael & Bonilla, Claudio & Benedetti, Hugo & Serletis, Apostolos, 2015. "Nonlinearities and financial contagion in Latin American stock markets," Economic Modelling, Elsevier, vol. 51(C), pages 653-656.
    4. Dewandaru, Ginanjar & Masih, Rumi & Masih, A. Mansur M., 2015. "Why is no financial crisis a dress rehearsal for the next? Exploring contagious heterogeneities across major Asian stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 241-259.
    5. Ahmad, Wasim & Sehgal, Sanjay & Bhanumurthy, N.R., 2013. "Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence?," Economic Modelling, Elsevier, vol. 33(C), pages 209-225.
    6. Marcelo Bianconi & Joe A. Yoshino & Mariana O. Machado de Sousa, 2011. "BRIC and the U.S. Financial Crisis: An Empirical Investigation of Stocks and Bonds Markets," Discussion Papers Series, Department of Economics, Tufts University 0764, Department of Economics, Tufts University.
    7. Grover, Vaibhav, 2015. "Identifying Dependence Structure among Equities in Indian Markets using Copulas," MPRA Paper 66302, University Library of Munich, Germany.
    8. Neaime, Simon, 2016. "Financial crises and contagion vulnerability of MENA stock markets," Emerging Markets Review, Elsevier, vol. 27(C), pages 14-35.
    9. Kristin J. Forbes & Roberto Rigobon, 2002. "No Contagion, Only Interdependence: Measuring Stock Market Comovements," Journal of Finance, American Finance Association, vol. 57(5), pages 2223-2261, October.
    10. Jayech, Selma, 2016. "The contagion channels of July–August-2011 stock market crash: A DAG-copula based approach," European Journal of Operational Research, Elsevier, vol. 249(2), pages 631-646.
    11. Bekiros, Stelios D., 2014. "Contagion, decoupling and the spillover effects of the US financial crisis: Evidence from the BRIC markets," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 58-69.
    12. Dornbusch, Rudiger & Park, Yung Chul & Claessens, Stijn, 2000. "Contagion: Understanding How It Spreads," World Bank Research Observer, World Bank Group, vol. 15(2), pages 177-197, August.
    13. Alexakis, Panayotis D. & Kenourgios, Dimitris & Dimitriou, Dimitrios, 2016. "On emerging stock market contagion: The Baltic region," Research in International Business and Finance, Elsevier, vol. 36(C), pages 312-321.
    14. Maria Zakia Papanikolaou Mostafa & Stavros Stavroyiannis, 2016. "BRIC dynamic conditional correlations, portfolio diversification and rebalancing after the global financial crisis of 2008-2009," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 18(1), pages 28-40.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Contagion Effect; Stock Dependence; BRIC+M block.;

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ety:journl:v:48:y:2018:i:1:p:173-196. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Georgina Alenka Guzmán Chávez). General contact details of provider: http://edirc.repec.org/data/etyuamx.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.