Efecto contagio en el bloque BRIC+M: estimación vía MS-Cópula

La presente investigación analiza el efecto contagio entre los mercados de capitales del bloque BRIC+M (Brasil, Rusia, India, China y México). Para lograr dicho objetivo se estima la dependencia dinámica a través de cópulas bivariadas durante el periodo julio 1997 – diciembre 2015. Una vez que se estima la dependencia dinámica, se complementa el análisis con el modelo Auto Regresivo con cambio de Régimen Markoviano (MS-AR) para determinar si la dependencia entre los mercados de valores evoluciona de acuerdo a dos regímenes: régimen de alta dependencia y régimen de baja dependencia, asociando los periodos de alta dependencia con el fenómeno de contagio bursátil. Los resultados señalan que la relación de dependencia entre los mercados de valores del bloque BRIC+M cambia a través del tiempo y que se hace mayor a partir de la crisis financiera global.

estimación con cópula, modelo auto regresivo con cambio de régimen, BRIC, México, mercados de capital

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