文章基本信息

标题：Do on/off time series models reproduce emerging stock market comovements?
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作者：Mohamed el hédi Arouri ; Fredj Jawadi
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2011
卷号：31
期号：1
页码：960-968
出版社：Economics Bulletin
摘要：Using nonlinear modeling tools, this study investigates the comovements between the Mexican and the world stock markets over the last three decades. While the previous works only highlight some evidence of comovements, our paper aims to specify the different time-varying links and mechanisms characterizing the Mexican stock market through the comparison of two nonlinear error correction models (NECMs). Our findings point out strong evidence of time-varying and nonlinear mean-reversion and links between Mexico and the world stock market, which reflects the significant development of Mexican stock market during the last decades. The specification of the nature of these links is interesting for investment decisions in emerging markets