Evolution of multifractal cross-correlations between the Argentina MERVAL Index and international commodities prices

Alejandra Figliola and Lucas Catalano

Journal of Applied Statistics, 2016, vol. 43, issue 13, 2452-2461

Abstract: We compute the auto-correlations and cross-correlations of the volatility time series of the Argentina MERVAL Index (the Buenos Aires Stock Exchange main index) and three agricultural commodities, in a multifractal context using the Detrended Cross-Correlation Analysis [12]. We observe a clear increase of the cross-correlations between the Merval series and the grain quotations which can be ascribed to a stronger coupling between the agricultural sector and the rest of the Argentinian economy. We connect this to fiscal decisions implemented since 2004 and reinforced after 2009.

Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:taf:japsta:v:43:y:2016:i:13:p:2452-2461

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DOI: 10.1080/02664763.2016.1181725

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