Search results

1 – 2 of 2
Per page
102050
Citations:
Loading...
Access Restricted. View access options
Article
Publication date: 3 October 2016

Leovardo Mata and José Antonio Núñez Mora

The purpose of this paper is to analyze the dependence between the Chinese and Market Integrated Latin America (MILA) stock markets.

219

Abstract

Purpose

The purpose of this paper is to analyze the dependence between the Chinese and Market Integrated Latin America (MILA) stock markets.

Design/methodology/approach

The authors adjust the multivariate probability distribution Variance Gamma (VG) on data yields from the Hang Seng Index (HSI) and MILA and they use the estimated parameters under VG to find a robust estimator of the correlation matrix yields.

Findings

The degree of dependence between stock indices from China, Peru, Mexico, Colombia and Chile. In addition, the impact of the change in the HSI affects mostly the movements of the selective stock price index (IPSA) and equally affects the index of the Mexican stock exchange (IPC) and Lima Stock Exchange (S&P/BVL). The effect on index of the Colombia Stock Exchange (COLCAP) is not significant.

Research limitations/implications

Over time there are different structural changes so the time has been restricted to the years 2000-2015, but could extend the analysis to other time periods and sectors of listed companies in the indices.

Practical implications

The results can guide policy makers to assess the effect of a random crash on stock markets and measure the level of risk from other markets.

Social implications

The results can generate a greater understanding of the relationship between the stock markets of China and the emerging countries of Latin America.

Originality/value

The value of this paper is to focus on alternative methodology to calculate the correlation matrix yields and measure the dependence between the Chinese and MILA stock markets.

Details

Journal of Chinese Economic and Foreign Trade Studies, vol. 9 no. 3
Type: Research Article
ISSN: 1754-4408

Keywords

Available. Content available
Article
Publication date: 3 October 2016

K.C. Fung and Carlos M. Urzúa

194

Abstract

Details

Journal of Chinese Economic and Foreign Trade Studies, vol. 9 no. 3
Type: Research Article
ISSN: 1754-4408

1 – 2 of 2
Per page
102050