Mexico Stock Research Articles

Herding behavior in integrated financial markets: the case of MILA

PurposeIt has been argued in the literature that structural changes in the financial markets, such as integration, have the potential to cause herding behavior or correlated behavioral patterns in traders. The purpose of this study is to investigate whether there is any financial herding behavior in the Latin American Integrated Market (MILA), a transnational stock market composed of Chile, Peru, Colombia and Mexico stock exchanges and whether there is any ARCH or GARCH effect in the herding behavior models.Design/methodology/approachThis study uses the modified return dispersion approach on daily index return data. The sample period is from January 03, 2002 to May 07, 2019. The data are obtained from the MILA database. To count time-varying volatilities in herding models, the authors run ARCH family regression with GARCH (1,1) settings. Hwang and Salmon (2004) model is used as a robustness test.FindingsThe authors found strong herding behavior under the general market conditions and moderate and partial herding behavior under some specified markets circumstances, such as bull and bear markets and high-low volatility states. Moreover, the pre-MILA period exhibits more herding behavior than the post-MILA period. The empirical results show that most of the ARCH and GARCH effects are statistically significant, implying that the past information of stock returns and market volatility significantly affect the volatility of following periods, which can also explain the formation of herding tendency among investors. Finally, the results of the robustness tests (Hwang and Salmon, 2004) confirm herding in all periods, except full sample period for Mexico and post-MILA period for Mexico and Colombia.Research limitations/implicationsThis study investigates the herding behavior in the MILA market in terms of market return, volatility and timing. A limitation of the paper is that the authors have not included other factors on the formation of herding behavior, such as macroeconomic factors, effects of regional or international markets and policy influences. The authors will explore the issue in the extension of the paper.Practical implicationsAs MILA is the first virtual integration of stock exchanges without merging, the study provides useful findings and draws good inferences of herding behavior in the MILA market in terms of market return, volatility and timing which are useful for academics, investors and policymakers in their investment and decision makings.Social implicationsThe paper provides useful findings and draws good inferences of herding behavior in the MILA market in terms of market return, volatility and timing which are not only useful in practical implications, but also in social implications.Originality/valueThis study contributes to the herding literature by examining four different hypotheses in respect of the unique case of transnational stock exchange without fusions or corporate mergers, where each market maintains its independence and regulatory autonomy. The authors also contribute to the literature by including both ARCH and GARCH effects in the herding behavioral models along the Hwang and Salmon (2004) approach.

Atlantic bluefin tuna (Thunnus thynnus) in Greenland — mixed-stock origin, diet, hydrographic conditions, and repeated catches in this new fringe area

Based on collaboration with the Greenlandic fishing fleet, we document the presence of Atlantic bluefin tuna (Thunnus thynnus) in most years from 2012 to 2018 in the waters east of Greenland (northern Irminger Sea). In total, 84 individuals have been registered as bycatch in the commercial fisheries in Greenland waters, which indicates that the first catch of three individuals in 2012 was not a single extreme observation, but that East Greenland waters have become a new outer limit of an expanded tuna habitat. Genetic analyses indicate that specimens from this region are mostly of Mediterranean origin with a small proportion originating from the Gulf of Mexico stock. Stomach content analysis suggests that the main prey is Atlantic mackerel (Scomber scombrus). The tunas ranged in size from 140 to 270 cm, corresponding to an estimated age range of 5–16 years; most were probably mature. The wide size–age range suggests that many year classes are participating in the migration to this region. Sea temperatures during summer have been above the long-term average in recent years of interest. Summer residence of bluefin tuna in the region could be due to a combination of increasing temperatures and higher overall abundances of both bluefin tuna and a key prey species (Atlantic mackerel).

Effects of sex-specific fishing mortality on sex ratio and population dynamics of Gulf of Mexico greater amberjack

The US Gulf of Mexico stock assessment of greater amberjack Seriola dumerili assumes a 1:1 male:female sex ratio. However, the observed sex ratio in the landed catch is 1:1.8, and for fish >1 m fork length is 1:2.4. To theoretically explore whether this female-skewed sex ratio may arise due to differential fishing mortality between the sexes, we used a sex-specific age- and size-based model to investigate how different fishing mortality rates could create a female-skew in the landed catch as well as its subsequent effects on reproductive potential. When fishing mortality rates in the model were equal between the sexes, the sex ratio of the landed catch was approximately 1:1 for all legal-sized fish, and approximately 1:2.4 for fish >1 m FL. However, reproductive potential decreased in comparison to the corresponding scenario with equal fishing mortality rates when fishing mortality rates between the sexes were changed to create the 1:1.8 sex ratio observed in the landed catch. This modeling study demonstrates one possible route that could explain the female-skewed sex ratios observed in the landed catch, and indicates that sex ratio values other than 1:1 should be considered in future stock assessments for Gulf of Mexico greater amberjack.

Pricing a bivariate option with copulas

The diversity of exotic-option contracts available in the market has increased significantly in recent years, and has aroused the interest to develop alternative valuation methodological approaches. Among the most interesting innovations, copulas analysis represents a major contribution to improve valuation methodologies. This paper explores the pricing of a bivariate call option on the better-of-two-markets: Mexico's Stock Exchange index, and the Standard & Poor's 500. The approach consists of a GARCH process that combines with copulas analysis and the Black and Scholes classical European call option valuation model. Copulas from the elliptical and Archimedean families provide the dependence structure among the underlying assets, and the estimated prices prove significantly different from those obtained using a static dependence assumption. The study concludes that dynamic copulas produce more robust prices than static dependence models.

Pricing a bivariate option with copulas

The diversity of exotic-option contracts available in the market has increased significantly in recent years, and has aroused the interest to develop alternative valuation methodological approaches. Among the most interesting innovations, copulas analysis represents a major contribution to improve valuation methodologies. This paper explores the pricing of a bivariate call option on the better-of-two-markets: Mexico's Stock Exchange index, and the Standard & Poor's 500. The approach consists of a GARCH process that combines with copulas analysis and the Black and Scholes classical European call option valuation model. Copulas from the elliptical and Archimedean families provide the dependence structure among the underlying assets, and the estimated prices prove significantly different from those obtained using a static dependence assumption. The study concludes that dynamic copulas produce more robust prices than static dependence models.

Non‐parametric modeling reveals environmental effects on bluefin tuna recruitment in Atlantic, Pacific, and Southern Oceans

AbstractEnvironment–recruitment relationships can be difficult to delineate with parametric statistical models and can be prone to misidentification. We use non‐parametric time‐series modeling which makes no assumptions about functional relationships between variables, to reveal environmental influences on early life stages of bluefin tuna and demonstrate improvement in prediction of subsequent recruitment. The influence of sea surface temperature, which has been previously associated with larval growth and survival, was consistently detected in recruitment time series of bluefin tuna stocks that spawn in the Mediterranean Sea, the North Pacific, and the Southern Ocean. Short time series for the Gulf of Mexico stock may have precluded a clear determination of environmental influences on recruitment fluctuations. Because the non‐parametric approach does not require specification of equations to represent system dynamics, predictive models can likely be developed that appropriately reflect the complexity of the ecological system under investigation. This flexibility can potentially overcome methodological challenges of specifying structural relationships between environmental conditions and fish recruitment. Consequently, there is potential for non‐parametric time series modeling to supplement traditional stock recruitment models for fisheries management.

Stock exchange in emerging markets: Integrated Latin America Market (MILA) - an opportunity for investment

The paper is an overview about the Integrated Latin America Market (MILA) until December 2014, including the Mexico Stock Market in the analysis. The papers describes how the market has been developing during the last five years, showing some aspects about the market capitalization, the most traded shares and the S&P MILA Andean 40 index. Besides the paper shows the benefits about the MILA to investors and the relation between the stock exchange index and the exchange rate in those markets, using a correlation model.

Dependencia condicional entre los mercados bursátiles de México y Estados Unidos

espanolEn este trabajo se estudia la dependencia condicional de los mercados accionarios de Mexico y Estados Unidos. Se emplea la copula de Joe- Clayton simetrica y se estiman las probabilidades condicionales de que existan incrementos (decrementos) en el indice accionario de Mexico, dado que hay incrementos (decrementos) en el indice accionario de Estados Unidos. Para las distribuciones marginales se proponen modelos ARTGARCH y AR-EGARCH con distribucion t de student estandarizada para las perturbaciones. Los resultados empiricos sugieren que existe alto grado de dependencia condicional en las colas, presentandose mayor volatilidad en la cola superior (derecha) a lo largo del periodo. EnglishIn this paper the conditional dependence of stock market in Mexico and the United States is studied. Symmetric Joe-Clayton copula is used and conditional probabilities of increases (decreases) in Mexico stock index when there are increases (decreases) in the U.S. stock index are estimated. For the marginal distributions, AR-TGARCH and AR-EGARCH models with a standardized Student’s t distribution for innovations are proposed. Empirical results suggest that there is a high degree of conditional dependence in the tails, presenting higher volatility on the upper (right) tail throughout the period.

Efecto manada en sectores económicos de las bolsas latinoamericanas: una visión pre y poscrisis subprime

In recent years the behavior of the agents and what motivates them to make their investment decisions; it has been the focus of study by many researchers in the fields of economics, finance and related fields. With this in mind, this article seeks to test empirically one of these behaviors, the herd effect, using the models proposed by Christie y Huang (1995) and Chang, Cheng y Khorana (2000), in the most representative index and the sectors that compose it, of the main markets in Latin America (Brazil, Mexico, Chile, Colombia, Peru and Argentina) in the period 2002-2014, as well as in the sub periods pre and post crisis caused by the subprime mortgage. The findings of this research show that the herd effect is present in the most representative stock index in Colombia, Chile and Peru and in some of the sectors that comprise it, either in the total period and/or in sub periods pre and post crisis; in the Brazilian stock market, the effect is present in the banking sector in the total period and in the sub period of pre-crisis; Argentina stock market that effect is present in the banking sector and in the oil and gas sector, and Mexico stock market there is no evidence of this effect.

The Election of the Big 4 Audit Firms In Mexico An Empirical Analysis (2000-2007)

In this article, we present the results of an empirical study on the factors that determine the election of the Big 4 in Mexico during the period from 2000 to 2007. To this purpose, we have estimated a logistic regression model using a sample of companies listed on the Mexico Stock Exchange and its financial statements audited by an independent auditor. The results indicate that corporate features such as; the presence of controlling shareholders, the debt level, the presence of foreign investors, business size and requirement for additional services by audited companies are some of the factors determining the election of the Big 4 in Mexico.

Estimación de modelos multivariados GARCH en los mercados accionarios de China y México

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

Nonlethal Sex Determination of the Greater Amberjack, with Direct Application to Sex Ratio Analysis of the Gulf of Mexico Stock

AbstractStock assessments for the Gulf of Mexico (Gulf) Greater Amberjack Seriola dumerili continue to designate the stock as overfished and undergoing overfishing, despite increasing regulatory measures. Knowledge of sex‐specific spatial distribution and fishing mortality may contribute to our understanding of the stock's overexploitation, especially since Greater Amberjacks may be subject to sex‐specific mortality resulting from minimum size regulations. Currently, the sex ratio of the stock is assumed to be 1:1. An average and range of sex ratios were estimated for the Gulf stock based on sampling of fish landed in the recreational and commercial fisheries and based on released fish that were nonlethally sexed during a tagging study of sex‐specific movement patterns and release mortality. The nonlethal method of sex determination was developed based on external features of the urogenital region; urogenital catheterization was used to validate the external sexing and to collect oocyte samples for determining maturity stages of females during the spawning season. Of the 238 fish (108 males and 130 females) for which sex was verified, only one smaller female was incorrectly sexed. Urogenital catheterization identified females that were spawning or that would likely spawn in the upcoming spawning season, but no differentiation could be made between immature and resting females. Analysis of published data sets suggested that the Gulf stock has an overall female‐skewed sex ratio, with estimates ranging from 1:1.7 to 1:2.5 (male : female), while the nonlethal sexing data from the current study suggest that the overall sex ratio is slightly male skewed (1:0.8) in some regions. All studies report a female‐skewed sex ratio of 1:2.3, on average, for 1,000‐mm FL and larger fish in the Gulf. Sex ratios that deviate from the assumed 1:1 ratio should be incorporated into future assessments of the Gulf Greater Amberjack stock to investigate potential consequences for stock status and management.Received December 30, 2013; accepted May 8, 2014

The Role of Mexico's Stock Exchange In Economic Growth

This paper discusses theoretical issues concerning the relationship between the stock market and economic development and applies five econometric models for the case of Mexico: (a) unit root tests; (b) cointegration analysis, (c) error correction model, (d) Granger causality tests; and (e) impulse-response analysis. Results suggest, for the 1968–2002 period, that the variables involved are non-stationary, are cointegrated, present a bilateral Granger-causality relationship and the response of the stock market to industrial innovations is initially positive and lasts for about six months; the response of industrial production to stock market shocks is positive and dies out after the fifth month.

PERFORMANCE OF "NATURAL DERMO-RESISTANT" OYSTER STOCKS-SURVIVAL, DISEASE, GROWTH, CONDITION AND ENERGY RESERVES

Abstract To determine if natural populations of the eastern oyster possess resistance to Perkinsus marinus, progeny representing several oyster stocks from the Chesapeake Bay and the Gulf of Mexico were deployed at two sites within the Chesapeake Bay. Mortality, P. marinus infection (prevalence and intensity), shell height, condition index, and energy reserves (glycogen, protein, and lipid) were compared between these stocks. Oyster stocks from the Chesapeake Bay had higher intensities of Dermo infection than Louisiana stocks, with differences among individual stocks. Throughout the 2-y study, a natural Dermo-resistant stock from Tangier Sound (CTS), was identified. Despite infection intensities approaching those of a susceptible Rappahannock River stock (CRB) and higher than a Gulf of Mexico stock (LOB), CTS consistently had lower mortality for the 2-y grow out, and was comparable to a hatchery disease-resistant strain (XB). At a site (Port Kinsale) where the significant parasite was P. marinus, the LOB ...

Liquidity, Risk, and the Collapse of the Mexican Peso: A Dynamic CGE Interpretation

On December 19th, 1994, Mexico's central bank announced a one-time 13% devaluation of the narrow band within which the peso had been allowed to float. Investors reacted violently, and within 48 hours the attack on reserves forced Mexico to abandon exchange rate management entirely.! The free-floating peso began a slide leaving it 33% lower relative to the dollar by the new year, and 50% lower by the middle of February. This paper argues that the Bank of Mexico's December 19th regime change revealed new information to the market, rationalizing the subsequent attack on reserves.2 Specifically, the regime change announcement contained regarding Mexico's stock of official foreign reserves. Insights borrowed from option pricing theory illustrate that such news leads investors to raise the risk premium assigned to peso-denominated loans. The general equilibrium implications of such a shock are shown to include a sharp and immediate devaluation. The shock is simulated using a multi-sector dynamic computable general equilibrium model of Mexico. Following the devaluation, the model predicts a gradual real revaluation extending over several years. In the short-run, resources shift into export and import-competing sectors (principally Mining and Manufacturing), while the current account moves into surplus and net foreign indebtedness is reduced. In the mediumto long-term, the short-run impact is reversed: non-traded goods production expands and export and import competing sectors contract, leaving Mexico with a smaller volume of outstanding debt and of international trade than would have been the case absent the shock.

Minimum Sizes for Red Grouper: Consequences of Considering Variable Size at Age

The influence of variation in length at age on estimates of yield per recruit (YPR) for alternative minimum sizes was evaluated for the U.S. Gulf of Mexico stock of red grouper Epinephelus morio. The YPR and biological reference points, F0.1 (the value of F at which the slope of the yield-per-recruit curve is 10% of the slope at the origin) and FMAX (fishing mortality that maximizes yield per recruit) were influenced by both the minimum size and the treatment of variability in length at age. The importance of including variation in length at age increased with increasing minimum size. Despite this result, maximum YPR for the existing growth model occurred with a minimum size of 50 cm total length regardless of whether variable growth was included or not. However, large minimum sizes cause the fishery to harvest the faster-growing members of each year-class, and this effect was most profound for the 50-cm minimum size. To the extent that growth is heritable, this process can induce strong genetic selection for slow growth that may significantly reduce future productivity of the stock.

Macroeconomic Determinants of Domestic Private Investment in Africa: An Empirical Analysis

During the late 1970s and early 1980s, many African countries experienced a profound slowdown in economic growth. The growth rate of real per capita GDP fell from 0.4% per year during the 1973-80 period to 1.2% per year during the 1980-89 period.' The causes-internal and external-of Africa's economic decline and the strategies for restoring economic growth are much debated. Nevertheless, broad consensus has emerged on the importance of (i) increasing total investment and (ii) promoting private-sector development and increasing its share of total investment for long-term growth.2 It is widely recognized that gross domestic investment fell substantially in Africa during the 1980s and remains severely depressed across the region. The proportion of total domestic investment in GDP fell from 20.8% per year during 1973-80 to 16.1% per year during 1980-89. In some countries, investment has fallen to less than 10% of GDP-a level that is insufficient even to replace depreciated capital. In Africa, the minimum investment needed to replace depreciated capital is estimated at 13% of GDP.3 In recent years, there has also been a growing recognition among many African leaders, faced with new realism and pragmatism, that the private sector could play a significant role in economic development. The focus in the longer term of structural adjustment programs and sectoral reforms adopted by these countries is on creating more appropriate incentives and a framework for private-sector development as the basis for achieving sustainable economic growth. In addition, multilateral and bilateral institutions have developed new initiatives with priorities for private-sector development. In 1989, the International Finance Corporation, an affiliate of the World Bank, es-

Biology as an Aid to the Identification of Two Closely Related Species of Ticks of the Genus Ornithodoros

Recent studies on several lots of ticks from California, identified on a morphologic basis as Ornithodoros turicata, but shown biologically to be 0. parkeri cast doubt on some of the published records for 0. turicata from this state. The type specimens of 0. turicata (Duges), 1876, were described from Guanajuato, Mexico; and the type specimens of 0. parkeri Cooley, 1936, were described from Wyoming, U.S.A. Geographically, 0. turicata has a southern distribution while 0. parkeri has a northern distribution. Morphologically, the two species differ mainly in the size and distribution of the mammillae and in the relative lengths of the hypostomes (Cooley and Kohls, 1944). In the laboratory they interbreed and produce fertile progeny (Davis, 1942), but otherwise they differ widely, biologically. As listed by Cooley and Kohls (1944), 0. turicata was first recorded from California by Banks from San Diego County in 1908. Further listings by these authors are from Riverside County, Harbinson (1935); Madera County, Kelley (1939); and Alameda County, Holdenried (1940). An adult tick found on a man in Merced County was described as O. wheeleri n. sp. by Mclvor (1937). Hoping to obtain more specimens of this new species, the writer collected a large number of ticks from Kern and Fresno Counties which were identified as 0. turicata. Following biologic studies, which indicated that the ticks were 0. parkeri and not 0. turicata, a further morphologic study was made by Dr. R. A. Cooley and Dr. Barbara C. Mclvor of undoubted 0. turicata and 0. parkeri; of the California specimens collected by the writer; and of the newly named 0. wheeleri; and it was agreed that all ticks from the area were 0. parkeri. These ticks were then listed as 0. parkeri, and 0. wheeleri was placed in synonymy (Cooley and Kohls, 1944). In 1943, the writer collected ticks in the same area as Holdenried's 1940 collection. These ticks were also identified as 0. turicata by Dr. R. A. Cooley. In 1948, specimens received from Yolo County were identified as 0. parkeri by Glen M. Kohls of this Laboratory. These ticks were then studied biologically and the results confirmed the identification. This study was based on only one of the criteria to be mentioned. The tests were as follows: Ten of the California ticks, and ten 0. parkeri (Washington stock) engorged on a white mouse infected with an Idaho 0. parkeri strain of spirochetes. The ticks were subsequently tested for transmission by feeding individually on white mice. There was 60 per cent transmission by the California ticks and 90 per cent transmission by the Washington 0. parkeri. Similarly, ten of the California ticks and ten 0. turicata (New Mexico stock) engorged on a mouse infected with 0. turicata

A Prospecting Expedition across Central Mexico, 1856-1857

SOUTH OF THE Rio Grande gold fever had been endemic ever since the coming of the Spaniards. Gold and especially silver were Mexico's stock in trade on the world market, and most of the identifying features of the 1849 gold camps-the hectic optimism of the roving miner, the deadly quarrels over mining rights, the boom-town inflation, and the drumhead government-were an old story to the peaceful citizens of Guanajuato and Zacatecas, mining districts which had seen their bonanza days in the sixteenth century. Nevertheless, in the 1850's a little of California's new enthusiasm appeared south of the border. It spent itself, partly in resifting the ores of the now familiar gold and silver mines, but also in a search for new and less glamorous minerals which the rising American industries needed: copper, lead, and especially coal and iron. By the end of the century Mexico would be exporting significant amounts of copper and lead to the United States, and if she did not similarly export coal and iron, it was only because she did not possess adequate coal resources, while the northern republic found within its own borders all the iron it could use.