Dependence in the Banking Sector of the United States and Mexico: A Copula Approach
The objective of this work is to estimate the patterns of dependence between the yields of the stock prices of the main banks of the United States (US) and Mexico. We estimate the patterns of absolute dependence and tail dependence through copulas of the Archimedean family and the use of rolling win...
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| Format: | Article |
| Language: | English |
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Instituto Mexicano de Ejecutivos de Finanzas
2021-11-01
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| Series: | Revista Mexicana de Economía y Finanzas Nueva Época REMEF |
| Subjects: | |
| Online Access: | https://www.remef.org.mx/index.php/remef/article/view/705 |
| _version_ | 1811238347788517376 |
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| author | Christian Bucio Pacheco Luis Villanueva Raúl de Jesús Gutiérrez |
| author_facet | Christian Bucio Pacheco Luis Villanueva Raúl de Jesús Gutiérrez |
| author_sort | Christian Bucio Pacheco |
| collection | DOAJ |
| description | The objective of this work is to estimate the patterns of dependence between the yields of the stock prices of the main banks of the United States (US) and Mexico. We estimate the patterns of absolute dependence and tail dependence through copulas of the Archimedean family and the use of rolling windows of 245 days. The data employed come from the daily share prices at closing from January 2, 2015, to December 31, 2020, for seven banks. Our results show that: i) there are patterns of high dependence among the main banks in the US, ii) there are patterns of very low dependence among the main banks in the US and Mexico, and iii) there are patterns of low dependence among the main banks in Mexico. These results have several implications, among them that the high-dependency patterns obtained among major US banks limit the joint selection of these US bank equity assets in an investment portfolio. Although this paper focuses on a small sample of banks, they represent an important portion of the banking sector in both countries. Given the limited literature on this subject in Mexico, our paper contributes to expanding this literature with a novel approach. |
| first_indexed | 2024-04-12T12:40:14Z |
| format | Article |
| id | doaj.art-0fe5a491f0be4435ba381ef6b87d7d80 |
| institution | Directory Open Access Journal |
| issn | 2448-6795 |
| language | English |
| last_indexed | 2024-04-12T12:40:14Z |
| publishDate | 2021-11-01 |
| publisher | Instituto Mexicano de Ejecutivos de Finanzas |
| record_format | Article |
| series | Revista Mexicana de Economía y Finanzas Nueva Época REMEF |
| spelling | doaj.art-0fe5a491f0be4435ba381ef6b87d7d802022-12-22T03:32:47ZengInstituto Mexicano de Ejecutivos de FinanzasRevista Mexicana de Economía y Finanzas Nueva Época REMEF2448-67952021-11-01160e705e70510.21919/remef.v16i0.705459Dependence in the Banking Sector of the United States and Mexico: A Copula ApproachChristian Bucio PachecoLuis VillanuevaRaúl de Jesús GutiérrezThe objective of this work is to estimate the patterns of dependence between the yields of the stock prices of the main banks of the United States (US) and Mexico. We estimate the patterns of absolute dependence and tail dependence through copulas of the Archimedean family and the use of rolling windows of 245 days. The data employed come from the daily share prices at closing from January 2, 2015, to December 31, 2020, for seven banks. Our results show that: i) there are patterns of high dependence among the main banks in the US, ii) there are patterns of very low dependence among the main banks in the US and Mexico, and iii) there are patterns of low dependence among the main banks in Mexico. These results have several implications, among them that the high-dependency patterns obtained among major US banks limit the joint selection of these US bank equity assets in an investment portfolio. Although this paper focuses on a small sample of banks, they represent an important portion of the banking sector in both countries. Given the limited literature on this subject in Mexico, our paper contributes to expanding this literature with a novel approach.https://www.remef.org.mx/index.php/remef/article/view/705banking sector, dependence, copula |
| spellingShingle | Christian Bucio Pacheco Luis Villanueva Raúl de Jesús Gutiérrez Dependence in the Banking Sector of the United States and Mexico: A Copula Approach Revista Mexicana de Economía y Finanzas Nueva Época REMEF banking sector, dependence, copula |
| title | Dependence in the Banking Sector of the United States and Mexico: A Copula Approach |
| title_full | Dependence in the Banking Sector of the United States and Mexico: A Copula Approach |
| title_fullStr | Dependence in the Banking Sector of the United States and Mexico: A Copula Approach |
| title_full_unstemmed | Dependence in the Banking Sector of the United States and Mexico: A Copula Approach |
| title_short | Dependence in the Banking Sector of the United States and Mexico: A Copula Approach |
| title_sort | dependence in the banking sector of the united states and mexico a copula approach |
| topic | banking sector, dependence, copula |
| url | https://www.remef.org.mx/index.php/remef/article/view/705 |
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