Interdependencia de los mercados de valores en el mundo

Abstract

This paper shows the analysis of the most capitalized stock markets returns of each time zone for the period 2009 - 2015. It was included in the analysis the Mexican stock market. Granger´s causality test was employed to recognize a market that acts as leader and to find an order based on the exogeneity of each market. The Vector Autoregression Model was used, with its simulation tests: the impulse-response analysis and decomposition of variance of forecast error to check the speed of adaptation, market response to external shocks and the proportion of such shocks attributed to each market. There is evidence of the strong interdependence between the world’s major stocks markets, the position of the eu market as a leader and the markets fast response to external shocks.