Abstract
This paper aims to analyze the existence of interdependence between China and Mexico’s stock markets by analyzing their financial indexes. Series of stock markets from Shangai, Shenzhen y Hang Seng (this three markets belong to China) and Mexico stock price index are modeled. The analysis covers the period from January 1st, 2009 to December 31st, 2014 with a total of 1,563 daily observations. For empirical evaluation multivariate GARCH models D-Vech, D-BEKK and Conditional Correlational Constant (CCC) were used in order to find the best model that explain the behavior of dynamic conditional volatility over time. It was found that there are asymmetries in the market and a negligible positive correlation, a weak signal transmission of volatility between the markets of China and Mexico. However, the Mexican market offers greater returns and low risk. Moreover, the CCC model is the one that explains best the behavior of the conditional variance over time, and is an accurate and parsimonious model when applied to the international financial assets under study
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