Integración, contagio financiero y riesgo bursátil: ¿qué nos dice la evidencia empírica para el periodo 1995-2016?

Piffaut, Pedro V.; Miró, Damià Rey

doi:10.1016/j.cesjef.2016.09.003

Cited by 4 publications

(2 citation statements)

References 29 publications

(14 reference statements)

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“…Piffaut and Miró [25] analyze the possible contagion that may exist among the main financial markets of Asia, the United States, and Europe from 1995 to 2016, using a Dynamic Conditional Correlation (DCC)-GARCH model and different cointegration tests such as those of Granger and Johansen. The results show that the S&P 500 is closely related to the European, Shanghai Composite Index, and Japan's Nikkei 225 indices, while Akhtaruzzaman et al [26] use a similar methodology (VARMA DCC-GARCH model) examine how financial contagion occurs in financial and non-financial companies, specifically in G7 countries and the Chinese economy during the COVID-19 period, showing evidence that correlations between stock returns for both financial and non-financial companies increased considerably during the pandemic.…”

Section: Contagion Literature Related To Financial Link: Different St...mentioning

confidence: 99%

Contagion Patterns Classification in Stock Indices: A Functional Clustering Analysis Using Decision Trees

Razo-De-Anda,

Romero-Castro,

Venegas-Martínez

2023

Mathematics

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This paper aims to identify the main determinants of the countries that present contagion during the period 2000–2021, based on the determination of the behavior patterns of 18 stock market indices of 15 of the main economies. To do that, first, the B-spline method and Bezier curves are used to smooth observations by minimizing the noise. Subsequently, the Functional Principal Component Analysis (FPCA) methodology is applied. Then, the K-means clustering algorithm is used to determine the main groups using the silhouette method and cross-validation, considering the sum of squares of the distances as the function to minimize. Finally, classification trees and macroeconomic and financial analyses are used to determine the rules of variables that give a direct explanation of the contagion (clustering) between the stock indices. The main empirical results obtained suggest that the most significant macroeconomic variables are the Gross Domestic Product, the Consumer Price Index, and Foreign Direct Investment, while in the financial aspect and the most representative are Domestic Credit and number of companies listed on the stock market. It is worth noticing that government spending does not have a significant effect at any time as a determinant of contagion. Finally, it is important to mention, and surprising, that Mexico’s IPC was not clustered in the same group of US stock market indices anytime, despite the strong commercial relationship and the geographical closeness.

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Section: Contagion Literature Related To Financial Link: Different St...mentioning

confidence: 99%

Contagion Patterns Classification in Stock Indices: A Functional Clustering Analysis Using Decision Trees

Razo-De-Anda,

Romero-Castro,

Venegas-Martínez

2023

Mathematics

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“…Their empirical results showed that contagion existed during the Euro crisis between Greece and all tested European markets and during the American banking crisis between the US and all tested markets. Piffaut & Rey Miro (2016) in their study aimed to discover and record the spread between the main stock indices in the markets of Europe, Asia and the United States. Using Garch's model, they observed that stock markets were highly correlated during the financial crisis, creating a complete contagion process.…”

Section: Literature Reviewmentioning

confidence: 99%

Index of Economic Stability and Financial Integration of Small Open Countries

Nurikić¹,

Music²

2023

IBR

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Over the recent decades, we have witnessed advanced processes of liberalization of capital flows, and increasing integration and globalization of financial markets. Along with the globalization trend, ever since the end of the 1980s, the process of financial integration has also been taking place, as a consequence of removing barriers to free movement of capital between countries. Therefore, this research explores financial integration of small open countries and aims to make conclusions on how this integration can affect their economic stability. Qualitative definitions of small countries point out that they typically have a limited territory, relatively small population and limited resources. The research hypothesis is postulated as follows: the economic stability index of small open countries is conditioned by their financial integration. The analysis includes small open countries of Southeast Europe observed from 2005 to 2020, with relevant statistical data used for the total inflow and outflow of investments, the share of assets and liabilities in gross domestic product and the calculated value of the economic stability index. The analysis was made using the methods of correlation analysis and correlation test. The results show that there is a correlation between financial integration and the economic stability index in small open countries.

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Transmisión de volatilidad en el Mercado Integrado Latinoamericano (MILA): una evidencia del grado de integración

Vélez

Barrera

2021

RMCE

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Este trabajo da cuenta del avance en la integración del Mercado Integrado Latinoamericano (MILA), mediante el estudio de la relación dinámica entre las volatilidades de los mercados que lo componen: Colombia, México, Perú y Chile. Para esto, se usaron datos, desde 2002 hasta 2018, de los índices accionarios representativos de cada una de las bolsas de valores de los países miembros. Debido a las características particulares que tienen las series financieras, como la no estacionariedad y la varianza dinámica a lo largo del tiempo, se aplican las técnicas de series de tiempo, específicamente, los modelos de la familia GARCH con un enfoque multivariado que permitan capturar la relación existente entre los mercados. Se encontró que individualmente las series son procesos integrados de orden 1 y presentan efectos ARCH. Si bien la existencia de interdependencia de volatilidad entre los mercados es latente y varía a lo largo del tiempo, los resultados de este estudio muestran que esta relación no presenta un aumento significativo después de la conformación del MILA. Así, pese a que los mercados están interrelacionados, la interdependencia no es tan fuerte y, por lo tanto, cada uno de los mercados mantiene fuerte independencia del resto. En otras palabras, la integración no se ha alcanzado completamente y, con ello, las ventajas de esta solo se han evidenciado parcialmente en cada una de las bolsas.

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Integración, contagio financiero y riesgo bursátil: ¿qué nos dice la evidencia empírica para el periodo 1995-2016?

Cited by 4 publications

References 29 publications

Contagion Patterns Classification in Stock Indices: A Functional Clustering Analysis Using Decision Trees

Contagion Patterns Classification in Stock Indices: A Functional Clustering Analysis Using Decision Trees

Index of Economic Stability and Financial Integration of Small Open Countries

Transmisión de volatilidad en el Mercado Integrado Latinoamericano (MILA): una evidencia del grado de integración

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