Contagion and Stock Interdependence in the BRIC+M Block

Magnolia Miriam Sosa Castro (), Christian Bucio Pacheco () and Alejandra Cabello Rosales ()
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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.

Economía: teoría y práctica, 2018, vol. 48, issue 1, 173-196

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.

Keywords: Contagion Effect; Stock Dependence; BRIC+M block. (search for similar items in EconPapers)
JEL-codes: C58 D53 G15 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:ety:journl:v:48:y:2018:i:1:p:173-196

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