Difusión de Riesgo y Redes de Cointegracion para el Mercado de Valores Mexicano en tiempo de COVID-19
Abstract
In this document we analyze cointegration networks and risk diffusion of 98 Mexican stock market shares. Internal risk diffusion is analyzed throughout the use of causality Granger tests over the Mexican economic sectors. In the results, the 2019 networks are compared in 2020 and it is found that, primarily due to the COVID-19 pandemic, there is a substantial disintegration of the Mexican economic sector, with special emphasis in Telecommunications and Frequent Consumer Services take prominence. Analyzing risk diffusion, a circular path is found which involves the Materials sector (MATE), the Industrial sector (INDU) and the Financial sector (FINA); the diffusion path is as follows MATE → INDU → FINA → MATE.
References
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Acharya, V. V., & Richardson, M. P. (Eds.). (2009). Restoring financial stability: how to repair a failed system (Vol. 542). John Wiley & Sons.
Adelman, I., & Yeldan, E. (2000). The minimal conditions for a financial crisis: A multiregional intertemporal CGE model of the Asian crisis. World Development, 28(6), 1087-1100.
Albert, R., & Barabási, A. L. (2002). Statistical mechanics of complex networks. Reviews of Modern Physics, 74(1), 47.
Aliber, R. Z., & Kindleberger, C. P. (2017). Manias, panics, and crashes: A history of financial crises. Springer.
Billio, M., Getmansky, M., Lo, A. W., & Pelizzon, L. (2012). Econometric measures of connectedness and systemic risk in the finance and insurance sectors. Journal of financial economics, 104(3), 535-559.
Boot, A. W., & Thakor, A. V. (1997). Financial system architecture. The Review of Financial Studies, 10(3), 693-733.
Boot, A. W., & Thakor, A. V. (1997). Financial system architecture. The Review of Financial Studies, 10(3), 693-733.
Campbell, J. Y., & Perron, P. (1991). Pitfalls and opportunities: what macroeconomists should know about unit roots. NBER macroeconomics annual, 6, 141-201.
Chavarín, R. (2018). Los diez mayores grupos económicos de México y su impacto económico. Cimexus, 13(2), 175-199.
Claessens, S., & Forbes, K. (2001). International financial contagion: An overview of the issues and the book. In International financial contagion (pp. 3-17). Springer, Boston, MA.
Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: journal of the Econometric Society, 1057-1072.
Financial Crisis Inquiry Commission. (2011) The financial crisis inquiry report: final report of the National Commission on the Causes of the Financial and Economic Crisis in the US. [Washington, DC: Financial Crisis Inquiry Commission: For sale by the Supt. of Docs., U.S. G.P.O] https://lccn.loc.gov/2011381760.
Gao, X., Huang, S., Sun, X., Hao, X., & An, F. (2018). Modelling cointegration and Granger causality network to detect long-term equilibrium and diffusion paths in the financial system. Royal Society Open Science, 5(3), 172092.
López-Herrera F., Rodríguez-Benavides D. & Gurrola-Ríos C. (2019). Spillovers entre el S&Poor500 y los principales EMBIG latinoamericanos. REMEF, 14, 527-540.
Newman M. E. (2020). The Structure and Function of Complex Networks. SIAM, 45(2), 167-256
Nishio A. (2021, 28 de enero). World Bank Blogs.COVID-19 is hitting poor countries the hardest. Here's how World Bank's IDA is stepping up support. https://blogs.worldbank.org/voices/covid-19-hitting-poor-countries-hardest-heres-how-world-banks-ida-stepping-support
Ozdemir, Z. A. (2009). Linkages between international stock markets: A multivariate long-memory approach. Physica A: Statistical Mechanics and its Applications, 388(12), 2461-2468.
Plosser, C. I. (2009, March). Redesigning financial system regulation. In A speech at the New York University Conference “Restoring Financial Stability: How to Repair a Failed System.
Pozzi, F., Di Matteo, T., & Aste, T. (2013). Spread of risk across financial markets: better to invest in the peripheries. Scientific reports, 3(1), 1-7.
Ren, H., Folmer, H., & Van der Vlist, A. J. (2014). What role does the real estate–construction sector play in China’s regional economy? The annals of regional science, 52(3), 839-857.
Tu, C. (2014). Cointegration-based financial networks study in Chinese stock market. Physica A, 402, 245-254.
Wang, G. J., Xie, C., He, K., & Stanley, H. E. (2017). Extreme risk spillover network: application to financial institutions. Quantitative Finance, 17(9), 1417-1433.
Yang, C., Chen, Y., Niu, L., & Li, Q. (2014). Cointegration Analysis and influence rank. Phisica A. 400, 168-185.
Published
2022-01-21
Section
Artículos
