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Dependence in the Banking Sector of the United States and Mexico: A Copula Approach

Author

Listed:
  • Christian Bucio Pacheco

    (Universidad Autónoma del Estado de México, México)

  • Luis Villanueva

    (Denison University, USA)

  • Raúl de Jesús Gutiérrez

    (Universidad Autónoma del Estado de México, México)

Abstract

El objetivo de este trabajo es estimar los patrones de dependencia entre los rendimientos de los precios accionarios de los principales bancos de Estados Unidos y México. Se estiman los patrones de dependencia absoluta y dependencia de cola mediante cópulas de la familia Arquimedeana y el uso de ventanas rodantes de 245 días. Los datos empleados provienen de los precios accionarios diarios de cierre del 2 de enero de 2015 al 31 de diciembre de 2020 para 7 bancos. Nuestros resultados muestran que: i) existen patrones de alta dependencia entre los principales bancos de Estados Unidos, ii) existen patrones de muy baja dependencia entre los principales bancos de Estados Unidos y México y iii) existen patrones de baja dependencia entre los principales bancos de México. Estos resultados tienen varias implicaciones, entre ellas está que los patrones de alta dependencia obtenidos entre los principales bancos estadounidenses limitan la selección conjunta de estos activos accionarios bancarios estadounidenses en un portafolio de inversión. Aunque nuestra investigación se centra en una pequeña muestra de bancos, estos representan una parte importante del sector bancario en ambos países. Dada la limitada literatura sobre el tema en México, este artículo contribuye a incrementar esta literatura con un enfoque novedoso.

Suggested Citation

  • Christian Bucio Pacheco & Luis Villanueva & Raúl de Jesús Gutiérrez, 2021. "Dependence in the Banking Sector of the United States and Mexico: A Copula Approach," 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(TNEA), pages 1-23, Septiembr.
    • Handle: RePEc:imx:journl:v:16:y:2021:i:tnea:a:2
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions

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