Análisis de Cointegración: Impacto a Propiedades Estocásticas del Ecuindex

Ricardo von Schoettler Lalama and Ricardo von Schoettler Tutiven

X-pedientes_Económicos, 2022, vol. 6, issue 16, 166-202

Abstract: ThistextinvestigatesthetemporalrelationshipbetweentheEcuindex(BVQ)andrepresentativestockindicesofLatinAmericaandtheUnitedStates,duringtheperiod2001-2020.Acorrelationanalysiswasperformedinordertodeterminetheassociationbetweenseries.Totestthe stationarity hypothesis, the Augmented Dickey Fuller model was applied and corroboratedwith the Phillips-Perron test. Finally, the presence of cointegration was verified, using theEngler-Granger, Phillips-Outliers and Johansen tests. The results confirmed the empiricalassertion that the correlation increases during bear market periods. The unit root evaluationshowedthattheBVQseriesisstationaryininterceptlevels.Traceandeigenvalueanalysisrevealed the presence of two significant cointegration vectors over time, between the BVQ,BOVESPA and NYSE stock indices. Based on these results, it is concluded that the NorthAmerican stock market, represented by the NYSE, would have its long-term impact on theEcuindex,inferringthattheeffectsofvolatilityandcontagionaffectthediversificationofstockriskin country markets. emergingdollar acceptorsinthe region.

Date: 2022
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