 Nonlinearities and financial contagion in Latin American stock marketsRafael Romero-Meza, Claudio Bonilla, Hugo Benedetti and Apostolos Serletis Economic Modelling, 2015, vol. 51, issue C, 653-656 Abstract: We use the Hinich (1996) portmanteau bicorrelation test to graphically represent nonlinear events detected in Latin American stock markets. We identify the starting, the ending, the intensity, and the persistence of nonlinear episodes. The six episodes identified in the period studied were found to be contemporaneous with international financial crises, which allows us to speculate that the contagion caused by financial crises induces nonlinear dependencies. We advocate that this test could be complementary to traditional tests employed in the study of financial contagion. We observe systematic nonlinear structure in the stock index return series that have been associated with temporary lack of market efficiency. This new approach can help financial analysts and regulators to assess graphically the state of dependence measured by the bicorrelation test as frequently as new information arrives. Keywords: Nonlinear behavior; Hinich bicorrelation test; Financial contagion (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:51:y:2015:i:c:p:653-656 DOI: 10.1016/j.econmod.2015.09.012 Access Statistics for this article Economic Modelling is currently edited by S. Hall and P. Pauly More articles in Economic Modelling from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.