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Nonlinearities and financial contagion in Latin American stock markets

dc.contributor.authorRomero-Meza R.
dc.contributor.authorBonilla C.
dc.contributor.authorBenedetti H.
dc.contributor.authorSerletis A.
dc.date.accessioned2020-09-02T22:27:27Z
dc.date.available2020-09-02T22:27:27Z
dc.date.issued2015
dc.identifier10.1016/j.econmod.2015.09.012
dc.identifier.citation51, , 653-656
dc.identifier.issn02649993
dc.identifier.urihttps://hdl.handle.net/20.500.12728/6071
dc.descriptionWe 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. © 2015 Elsevier B.V.
dc.language.isoen
dc.publisherElsevier
dc.subjectFinancial contagion
dc.subjectHinich bicorrelation test
dc.subjectNonlinear behavior
dc.titleNonlinearities and financial contagion in Latin American stock markets
dc.typeArticle


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