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This study uses daily COVID-19 news series to determine their impact on financial market volatility. This paper assesses whether U.S. financial markets react differently to COVID-19 news than emerging markets and if such markets are impacted differently by country-specific and global news. To detect the spillover effects from news on market volatility, a time-varying DCC-GARCH model was applied. The results suggest that the U.S. and emerging markets are affected differently by pandemic news, global series have a stronger impact on emerging markets than country-specific ones, and misleading information plays a significant role in financial market volatility, especially for the U.S.

The relationship between three different groups of COVID-19 news series and stock market volatility for several Latin American countries and the U.S. are analyzed. To confirm the relationship between these series, a maximal overlap discrete wavelet transform (MODWT) was applied to determine the specific periods wherein each pair of series is significantly correlated. To determine if the news series cause Latin American stock markets’ volatility, a one-sided Granger causality test based on transfer entropy (GC-TE) was applied. The results confirm that the U.S. and Latin American stock markets react differently to COVID-19 news. Some of the most statistically significant results were obtained from the reporting case index (RCI), A-COVID index, and uncertainty index, in that order, which are statistically significant for the majority of Latin American stock markets. Altogether, the results suggest these COVID-19 news indices could be used to forecast stock market volatility in the U.S. and Latin America.

Recientemente el razonamiento estadistico ha sido de vital importancia no solo en el analisis cuantitativo, sino tambien en la interpretacion de graficos a todos los niveles educativos. Existen estudiantes que pueden realizar distintos calculos de manera casi inmediata, sin embargo, no pueden interpretar o exponer sus ideas en un grafico. De esta manera, el presente trabajo pretende realizar un diagnostico de los problemas que tienen los alumnos de licenciaturas economico-administrativas para leer e interpretar graficos en su curso de estadistica. Para ello se aplico una prueba en su version en espanol de Comprehensive Assessment of Outcomes in Statistics (CAOS). Dicho instrumento permite determinar como interpreta su razonamiento sobre distintos tipos de graficos estadisticos y en algunos casos determinar que tipo de calculo se requiere para ello. El instrumento se aplico a una muestra de 138 estudiantes de licenciaturas del area economico-administrativas de la Universidad de Guadalajara durante el semestre de enero-junio del 2018. Los resultados muestran que un gran porcentaje de los alumnos confunden la distribucion normal con una uniforme, no distinguen que un sesgo se puede determinar por sus medidas de tendencia central o dispersion, entre otras dificultades de razonamiento estadistico. Esto puede ser debido a la deficiencia que existe en la ensenanza de la estadistica, una preparacion matematica insuficiente de los estudiantes, entre otros factores.

The purpose of this paper is to analyse the adaptive market efficiency in the price–volume (P–V) relationship of the stocks listed in the Mexican Stock Exchange. The period under study goes from 1982 to 2015. In order to detect causality and, thus, determine adaptive efficiency in the market, one linear and two non-linear tests are applied. There are few papers in the literature that study the P–V relationship in Latin American markets; as such, this paper may be of interest and importance to financial academics and practitioners alike.,The Diks and Panchenko (DP) non-parametric Granger causality and the Brooks and Hinich (BH) cross-bicorrelation tests are applied.,Derived from the DP test, the findings show that there exists bi-directional non-linear Granger causality in 25.71 per cent of the firms studied, compared to 8 per cent when applying the linear Granger causality test. Therefore, there is evidence of weak-form efficiency in the market. From the BH test, evidence is shown of the adaptive market efficiency, since 71.42 per cent of firms exhibited some form of non-linear dependence in certain periods of time. With these results, the information process should be better studied for a greater comprehension of regulatory policies in the market and better decision-making tools for the investors.,This paper complements studies on the P–V relationship and efficiency in a Latin American market.,Este documento analiza la eficiencia adaptativa del mercado para la relacion precio-volumen de las empresas que cotizan en la Bolsa Mexicana de Valores. El periodo bajo estudio es de 1982 a 2015. Para detectar causalidad y determinar la eficiencia adaptativa del mercado, se aplico una prueba lineal y dos no-lineales. Existen pocos documentos en la literatura que estudien la relacion precio-volumen en mercados latinoamericanos. Como tal, este documento puede ser de interes e importancia tanto para academicos como para profesionales de las finanzas.,Se aplico la prueba de causalidad no-parametrica de Diks y Panchenko y la prueba de bicorrelacion cruzada de Brooks y Hinich.,Derivado de la prueba DP, los hallazgos muestran que existe causalidad no-lineal bidireccional en 25.71% de las empresas bajo estudio, comparado a un 8% cuando se aplica la prueba de causalidad lineal de Granger. Por lo tanto, existe evidencia de eficiencia en forma debil del mercado. De la pruba BH, se muestra evidencia de eficiencia adaptativa del mercado, dado que el 71.42% de las empresas exhibieron alguna forma de dependencia no-lineal en ciertos periodos de tiempo. Con estos resultados, el proceso de informacion debe ser mejor estudiado para una mayor comprension de las politicas regulatorias del mercado y mejores herramientas para la toma de decisiones por los inversionistas.,Este documento complementa los estudios sobre la relacion precio-volumen y la eficiencia en un mercado latinoamericano.

This paper presents a study of the multiple choice test from the eleventh knowledge tournament for Statistics I, in order to determine whether it instills competitive learning in university students. This research uses Item Response Theory (IRT). The results obtained show that only 27 students (13.43% of the total number of participants) have an acceptable level of ability (1.03 to 2.58), while the level of ability of the rest of the students is not satisfactory (-1.68 to 0.76). The participants are not a group of students seeking to test their knowledge of the subject or looking for an academic challenge. Better strategies for motivating students in terms of competitive learning must be found.

We model the changes in volatility in the Mexican Stock Exchange Index using a Bayesian approach. We study the time series with a wide set of models characterized by a Markov switching heterogeneit...

Causality patterns are analysed for daily Brent, West Texas Intermediate (WTI), and Argus Sour Crude Index (Argus) oil prices, Argus is the reference price for exports from Saudi Arabia, Kuwait and Iraq. Nonparametric Granger causality testing uncovers bi-directional causal links between Brent and WTI prices at multiple lags. Unidirectional causality from both Brent to Argus and WTI to Argus is also documented. If the current Saudi Arabia attempt to increase market share is successful, variations in Argus prices may start preceding movements in Brent and WTI, also.

This work applies a test that detects dependence between pairs of variables. The kind of dependence is a non-linear one, and the test is known as cross-bicorrelation, which is associated with Brooks and Hinich [1]. We study dependence periods between U.S. Standard and Poor's 500 (SP500), used as a benchmark, and six Latin American stock market indexes: Mexico (BMV), Brazil (BOVESPA), Chile (IPSA), Colombia (COLCAP), Peru (IGBVL) and Argentina (MERVAL). We have found windows of nonlinear dependence and comovement between the SP500 and the Latin American stock markets, some of which coincide with periods of crisis, leading to an interpretation of a possible contagion or interdependence.

Crop prices in the United States (USA), and especially corn prices, have been displaying important changes in the last 10 years, after the ethanol mandate in 2005. Motivated by these significant price changes, there has been a growing interest in the study of price transmission from oil prices to agricultural commodity prices. In this contribution, we concentrate on the relationship between the price of oil and the prices of three agricultural commodities that are used for biofuels production: corn, soybeans, and sugar. In doing so, we apply linear Granger causality tests, the nonlinear causality test of Diks and Panchenko (J Econ Dyn Control 30:1647–1669, 2006), and the Brooks and Hinich (J Empir Financ 6:385–404) cross-bicorrelation test to daily data over the period from 1990 to 2016.

In this paper, we use a cross bicorrelation test to study the relationship between the real price of oil and industrial production in the United States. We find evidence of nonlinearity, for different window frames, over the period from February 1974 to May 2013. Interestingly we find evidence of nonlinearity in two periods that coincide with periods of economic or political instability. Furthermore, we find that in both cases the price of oil leads U.S. industrial production. These findings are important, because they complement the existing literature regarding the existence of a nonlinear and asymmetric relationship between the oil price and economic activity.

In this paper, we apply a nonstructural approach to analyze coffee price returns behavior over time. In particular, we use the Hinich portmanteau statistic test (H) to detect nonlinear dependence of the International Colombian Arabica Coffee price return for the period of June 29, 1990 to July 1, 2010 (5,219 observations). Our results sheds light that in 10 out of 173 episodes, a standard volatility model like GARCH for instance, does not entirely capture all the nonlinearity patterns that are present in the data. And we report some events whose arrival might have induced nonlinear dynamics. Our findings also suggest that the weak form of the efficient markets hypothesis (EMH) cannot be supported in this market. Key words: Colombian Arabica coffee price, Hinich portmanteau statistic test, nonlinear dependence.

This work presents a mathematical model for reciprocal dumping and transboundary pollution, under a setting of oligopolistic competition. To control emissions, governments can establish two environmental regulation instruments: quotas and taxes. To do so, they calculate the optimal values for these variables and implement environmental policies, which aim to maximize the welfare function for both consumers and manufacturing companies and improve tax revenue and the social cost of polluting. With this model, we are able to conclude that when the social cost of polluting is high, governments should impose a quota for the level of pollution or a tax for contaminating. However, if the cost to abate pollution is high, the government may increase the pollution quota or reduce the tax.

En este articulo se aplica el estadistico REVERSE , que es una prueba en el dominio de la frecuencia sobre reversibilidad temporal, basada en el biespectro, sobre el tipo de cambio mexicano. Los resultados concluyen que la serie es irreversible en el tiempo por lo que no cumple con la propiedad de que las innovaciones sean i.i.d. Esto implica que este tipo de series no pueden ser analizadas con modelos de la familia GARCH y que las decisiones de politica economica basadas en estos modelos pueden ser erroneas.

This paper is aimed at studying a MS-GARCH model applied to Bitcoin. The Bayesian estimation of the model shows that Bitcoin’s volatility can be modelled using two states of volatility, high and low. The modelled volatility is not stable over time. Twenty eight periods of high volatility were found, the largest period of volatility occurred during 2013. The findings help explain what happened during these high volatility periods.

The study empirically investigates the adaptive market hypothesis (AMH) in the Pakistan stock market over the period of 1992 to 2015. Daily data of returns (KSE-100) is divided into eight sub-samples of equal length of three years each and into different market conditions and are subjected to linear/nonlinear tests to elucidate how market-efficiency has behaved over time and whether a relationship exists between market conditions and levels of return predictability. The tests reveal that returns have gone through periods of dependence and independence over eight sub-samples thus Pakistan Stock Exchange is an adaptive market and consistent with the AMH. Furthermore, certain market conditions are more conducive to the predictability of returns as market conditions have also gone through episodes of significant dependence and independence of return predictability, which is also consistent with the AMH. Therefore, overall results of the study suggest that the AMH better elucidates the behaviour of stock returns than conventional efficient market hypothesis (EMH).

En el sureste de México, los pequeños negocios son dirigidos por emprendedores de bajos ingresos, quienes operan estos negocios en un mercado local para obtener un ingreso diario. Este estudio analiza el efecto de las fuerzas del mercado sobre las estrategias competitivas genéricas y el desempeño de los pequeños negocios. Se analiza (1) qué estrategia tiene el mayor efecto en el desempeño de los pequeños negocios, (2) cual es la fuerza de mercado más representativa, y (3) cómo estas fuerzas de mercado influyen en la relación entre el desempeño y la estrategia competitiva. Los resultados sugieren que la estrategia de diferenciación es la que tiene el mayor efecto sobre el desempeño, que la de liderazgo en costos; pero que una combinación de ambas estrategias competitivas tiene mejores resultados en el desempeño para este tipo de contextos.

In this chapter we studied the nonlinear co-movements between the Mexican Crude Oil price, the Mexican Stock Market Index and the USD/MXN Exchange Rate, for the sample period from 1994 to date. We used a battery of nonlinear tests, cf. (Patterson & Ashley, 2000) and one multivariate test, in order to determine the dynamic co-movement exerted from the oil prices to the stock and exchange rate markets. Such co-movement and time windows are exposed using the Brooks & Hinich (1999) cross- bicorrelation statistical test. The effects of oil spills on other markets have been studied from different angles and on several financial assets. In this study, we focus our attention on the detection, not only of the correlations amongst markets but on the epochs in which such nonlinear dependence might occur. This is important in order to understand better, how the markets that drive the economy interact with each other. We hope to contribute to the literature with such findings, filling a gap in the emerging markets context, in particular, for the Mexican case., 14 pages, accepted to be published in the book Modelado de Fen\'omenos Econ\'omicos y Financieros: Una Visi\'on Contempor\'anea, Vol. 1 (C.E. Castillo Ram\'irez, F. L\'opez Herrera and F. Venegas Mart\'inez (eds.))

This chapter investigates the adequacy of ARCH- and GARCH-type models to describe the behavior of five Latin American currencies against the US dollar by applying a new inferential testing procedure. This latter performs iteratively econometric tests of nonlinearity covering the majority of the most common sources of data dependence. In particular, the testing procedure includes a new maximal bispectral test of linearity with enhanced power against those forms of non-linearity that display flat bispectrum and nonflat higher-order polyspectra. The results suggest that GARCH models cannot capture the data generating processes for four of the five studied currencies.

In this paper we investigate the adaptive market efficiency of the agricultural commodity futures market, using a sample of eight futures contracts. Using a battery of nonlinear tests, we uncover the nonlinear serial dependence in the returns series. We run the Hinich portmanteau bicorrelation test to uncover the moments in which the nonlinear serial dependence, and therefore adaptive market efficiency, occurs for our sample., Comment: 11 pages

This paper calculates the optimal tax of the emission of polluting agents in oligopolistic possess and under conditions of the reciprocal dumping, in which the firms count on the appropriate technology to decrease the pollution and can decide the amount of emissions generated. In this model the optimal tax mainly depends on the amount of the marginal disutility to pollute, as well as the abatement cost.

El presente estudio examina los determinantes teóricos y la evidencia empíri- ca sobre el uso de instrumentos derivados en América Latina para la gestión de riesgo. Los instrumentos derivados, el desarrollo de sus mercados, así como su uso es sin duda una de las más potentes innovaciones financieras disponibles para personas y empresas. Se muestra que si bien las firmas latinoamericanas usan derivados, hay una carencia de investigación que no permite entender sus determinantes. Se indaga sobre las causas e incentivos del desarrollo del mercado chileno de derivados, concluyéndose que su de- sarrollo no ha podido despegar en bolsa; no obstante, el mercado OTC ha mostrado un sano desarrollo. Por último se plantean metas y desafíos para países latinoamericanos y se proponen posibles ideas de investigación para llenar el vacío existente sobre aspectos empíricos de la gestión de riesgo en estas economías.

This article applies the Hinich portmanteau test to the daily return of the international Arabica Colombian coffee price the period 06/29/1990 to 07/01/2010. By splitting the data in windows and setting the null hypothesis on the time series, H : a stationary pure noise process with zero 0 tricorrelations and bicorrelations for each window. The main result of this paper is that there is significant evidence in 10 and 11 windows, respectively. This shows that there are statistical structures with nonlinear dependence. Thus it is difficult for economic agents to cope with forecast performance decisions in this market.

Este trabajo trata de determinar, por medio de estadística descriptiva e inferencial, si la sección de matemáticas de la prueba de aptitud académica inci- de en el rendimiento matemático en los estudiantes de nuevo ingreso de la universidad. Paralelamente se analizaron las diferencias de género subyacente en el rendimiento matemático de cada uno de los instrumentos de medición examinados, junto con otros factores demográficos (el estado civil, situación laboral y tipo de institución de procedencia).Para ello, se contó con una población de 2200 estudiantes que fueron aceptados en el ciclo 2011A. Se realizó una taxonomía del estudiante aceptado en la universidad y se correlacionó con una prueba diagnóstico que contiene parte de la sección de matemáticas de la prueba de aptitud académica. No se encontraron variables que pudieran esta- blecer una correlación en su rendimiento. Se concluye que existe otro tipo de variables socioeconómicas o sociohistóricas que pudieran permitir determinar el rendimiento en matemáticas del estudiante.

Este trabajo utiliza una extension multivariante de la prueba no parametrica de no linealidad de Hinich (1991) con el objetivo de investigar si existe una relacion no lineal entre el indice de la Bolsa Mexicana de Valores (IPC) y el tipo de cambio peso/dolar medida a traves de la correlacion cruzada y la bicorrelacion cruzada en el periodo 1994-2012 durante tres subperiodos de administracion presidencial. Este metodo divide la muestra en ventanas y proporciona informacion sobre la dependencia no lineal. El principal hallazgo es que no se detectan ventanas de correlacion cruzada significativas. No obstante se observan ventanas de tiempo con una bicorrelacion cruzada significativa, lo que sugiere una relacion no lineal y bidireccional entre las series. Este trabajo concluye que para los tres subperiodos de administracion presidencial ambas series mantienen la misma relacion no lineal y bidireccional para cualquier cambio en el gobierno con ventanas significativas concentradas al principio del periodo presidencial sin importar el partido gobernante. Por ultimo es importante destacar que los periodos no lineales bidireccionales se concentraron a mediados del ultimo periodo presidencial mexicano, lo que indica que los factores financieros externos y economicos globales afectaron esta relacion.