ORCID Profile
0000-0002-7945-7155
Current Organisations
Universidad de Guadalajara
,
Palomar College
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Publisher: Informa UK Limited
Date: 20-10-2017
Publisher: Academic Publications
Date: 21-04-2017
Publisher: Universidad Nacional de Colombia
Date: 20-04-2016
DOI: 10.15446/DYNA.V83N196.49737
Abstract: This work applies a test that detects dependence between pairs of variables. The kind of dependence is a non-linear one, and the test is known as cross-bicorrelation, which is associated with Brooks and Hinich [1]. We study dependence periods between U.S. Standard and Poor's 500 (SP500), used as a benchmark, and six Latin American stock market indexes: Mexico (BMV), Brazil (BOVESPA), Chile (IPSA), Colombia (COLCAP), Peru (IGBVL) and Argentina (MERVAL). We have found windows of nonlinear dependence and comovement between the SP500 and the Latin American stock markets, some of which coincide with periods of crisis, leading to an interpretation of a possible contagion or interdependence.
Publisher: Universidad Nacional Autonoma de Mexico
Date: 04-2015
Publisher: MDPI AG
Date: 05-10-2022
DOI: 10.3390/E24101420
Abstract: The relationship between three different groups of COVID-19 news series and stock market volatility for several Latin American countries and the U.S. are analyzed. To confirm the relationship between these series, a maximal overlap discrete wavelet transform (MODWT) was applied to determine the specific periods wherein each pair of series is significantly correlated. To determine if the news series cause Latin American stock markets’ volatility, a one-sided Granger causality test based on transfer entropy (GC-TE) was applied. The results confirm that the U.S. and Latin American stock markets react differently to COVID-19 news. Some of the most statistically significant results were obtained from the reporting case index (RCI), A-COVID index, and uncertainty index, in that order, which are statistically significant for the majority of Latin American stock markets. Altogether, the results suggest these COVID-19 news indices could be used to forecast stock market volatility in the U.S. and Latin America.
Publisher: Informa UK Limited
Date: 11-09-2017
Publisher: International Association for Energy Economics (IAEE)
Date: 09-2018
Publisher: Universidad Nacional Autonoma de Mexico
Date: 11-02-2019
DOI: 10.22201/FCA.24488410E.2020.2358
Abstract: This paper is aimed at studying a MS-GARCH model applied to Bitcoin. The Bayesian estimation of the model shows that Bitcoin’s volatility can be modelled using two states of volatility, high and low. The modelled volatility is not stable over time. Twenty eight periods of high volatility were found, the largest period of volatility occurred during 2013. The findings help explain what happened during these high volatility periods. strong /strong
Publisher: Emerald
Date: 16-08-2018
DOI: 10.1108/ARLA-11-2016-0313
Abstract: The purpose of this paper is to analyse the adaptive market efficiency in the price–volume (P–V) relationship of the stocks listed in the Mexican Stock Exchange. The period under study goes from 1982 to 2015. In order to detect causality and, thus, determine adaptive efficiency in the market, one linear and two non-linear tests are applied. There are few papers in the literature that study the P–V relationship in Latin American markets as such, this paper may be of interest and importance to financial academics and practitioners alike. The Diks and Panchenko (DP) non-parametric Granger causality and the Brooks and Hinich (BH) cross-bicorrelation tests are applied. Derived from the DP test, the findings show that there exists bi-directional non-linear Granger causality in 25.71 per cent of the firms studied, compared to 8 per cent when applying the linear Granger causality test. Therefore, there is evidence of weak-form efficiency in the market. From the BH test, evidence is shown of the adaptive market efficiency, since 71.42 per cent of firms exhibited some form of non-linear dependence in certain periods of time. With these results, the information process should be better studied for a greater comprehension of regulatory policies in the market and better decision-making tools for the investors. This paper complements studies on the P–V relationship and efficiency in a Latin American market.
No related grants have been discovered for Semei Coronado.