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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| Published in | Revista mexicana de economía y finanzas = Mexican journal of economics and finance : REMEF Vol. 16; no. TNEA; pp. 1 - 23 |
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| Main Authors | , , |
| Format | Journal Article |
| Language | English Portuguese |
| Published |
Instituto Mexicano de Ejecutivos de Finanzas A.C
2021
Instituto Mexicano de Ejecutivos de Finanzas |
| Subjects | |
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| Abstract | 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. |
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| AbstractList | 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.
El objetivo de este trabajo es estimar los patrones de dependencia entre los rendimientos de los precios accionarios de los principales bancos de Estados Unidos y México. Se estiman los patrones de dependencia absoluta y dependencia de cola mediante cópulas de la familia Arquimedeana y el uso de ventanas rodantes de 245 días. Los datos empleados provienen de los precios accionarios diarios de cierre del 2 de enero de 2015 al 31 de diciembre de 2020 para 7 bancos. Nuestros resultados muestran que: i) existen patrones de alta dependencia entre los principales bancos de Estados Unidos, ii) existen patrones de muy baja dependencia entre los principales bancos de Estados Unidos y México y iii) existen patrones de baja dependencia entre los principales bancos de México. Estos resultados tienen varias implicaciones, entre ellas está que los patrones de alta dependencia obtenidos entre los principales bancos estadounidenses limitan la selección conjunta de estos activos accionarios bancarios estadounidenses en un portafolio de inversión. Aunque nuestra investigación se centra en una pequeña muestra de bancos, estos representan una parte importante del sector bancario en ambos países. Dada la limitada literatura sobre el tema en México, este artículo contribuye a incrementar esta literatura con un enfoque novedoso. 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. Abstract 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. |
| Author | Villanueva, Luis Bucio Pacheco, Christian Gutiérrez, Raúl de Jesús |
| AuthorAffiliation | Denison University Universidad Autónoma del Estado de México |
| AuthorAffiliation_xml | – name: Universidad Autónoma del Estado de México – name: Denison University |
| Author_xml | – sequence: 1 givenname: Christian orcidid: 0000-0002-0860-199X surname: Bucio Pacheco fullname: Bucio Pacheco, Christian organization: Universidad Autónoma del Estado de México, México – sequence: 2 givenname: Luis orcidid: 0000-0001-8239-3431 surname: Villanueva fullname: Villanueva, Luis organization: Denison University, USA – sequence: 3 givenname: Raúl de Jesús orcidid: 0000-0001-6878-3038 surname: Gutiérrez fullname: Gutiérrez, Raúl de Jesús organization: Universidad Autónoma del Estado de México, México |
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| Cites_doi | 10.1111/j.1467-937x.2009.00583.x 10.3390/math8112055 10.1080/1351847x.2017.1366350 10.2307/2329779 10.1080/13518470802604457 10.5089/9781451871517.001 10.1214/aos/1176344136 10.1016/j.jbankfin.2009.07.026 10.1016/j.inveco.2015.06.001 10.2139/ssrn.2512236 10.1002/jae.2518 10.1007/0-387-28678-0 10.1007/978-1-4612-1694-0_15 10.3390/jrfm11040057 10.2139/ssrn.2369256 10.2139/ssrn.2797072 10.1080/03610928508828937 |
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| Keywords | Copula Dependencia Cópulas Banking Sector Dependence Sector Bancario |
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| Snippet | 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... Abstract 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... 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... |
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| SubjectTerms | Banking Sector banking sector, dependence, copula Business, Finance Copula Cópulas Dependence Dependencia Economics Sector Bancario |
| Title | Dependence in the Banking Sector of the United States and Mexico: A Copula Approach |
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