C

Foreword . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7

Contribution Bios . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11

PART 1
PORTFOLIO THEORY

Chapter 1. Nafta Stock Markets’ Integration, Conditional Tangency

Portfolio Changes, Foreign Flows and Regime Switches During
the Financial Crisis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
Francisco López Herrera, Roberto J. Santillán Salgado
y Edgar Ortiz

Chapter 2. Linear and Nonlinear Diversification Opportunities

in the Latin American Integrated Stock Market . . . . . . . . . . . . . . . 51
Montserrat Reyna Miranda y Ricardo Massa Roldán

Chapter 3. Testing the Capital Asset Pricing Model using the Kalman
Filter: Empirical Evidence from the Mexican Stock Market . . . . .81
Ángel Samaniego Alcántar y Santiago Antonio Casillas Aceves

Chapter 4. Exchange rate volatility. A comparative analysis

through an asymmetric tarch and extreme value approach,
Mexico: 2014-2016 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95
Javier Galán Figueroa, Rosa María Domínguez Gijón
y Fátima Irina Villalba Padilla

PART 2
CAUSALITY

Chapter 5. The links between crude oil prices and gcc stock markets:
Evidence from time varying Granger causality tests . . . . . . . . . . 121
Mehmet Balcılar, İsmail H. Genç y Rangan Gupta
Chapter 6. Dependence among the stock markets of the NAFTA:
A copulas approach . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .163
Christian Bucio, Alejandra Cabello y Edgar Ortiz

Chapter 7. Efect of stock market volatility on gdp using midas . . . . 189

Ricardo Pérez Navarro, Raúl Francisco Montalvo Corzo
y L. Arturo Bernal Ponce

Chapter 8. Oil prices and stock market returns: a comparison

among Brazil, Chile, and Mexico . . . . . . . . . . . . . . . . . . . . . . . . . . 199
Abigail Rodríguez Nava, Francisco Venegas-Martínez
Semei Coronado y Omar Rojas

PART 3
ECONOPHYSICS

Chapter 9. Gold as a hedge and Safe Haven: Evidence from India . . . 213
Niyati Bhanja y Arif Billah Dar

Chapter 10. System Dynamics: An Stock Index Model

Applied to the Mexican Case . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 237
Gilberto Anzaldo San Vicente, Guillermo Benavides Perales
e Isela Elizabeth Téllez-León

Chapter 11. Measuring volatility in emerging stock markets from

an econophysics approach . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 263
Oswaldo Morales-Matamoros, Ana Lilia Coria-Páez,
Ricardo Tejeida-Padilla y Jesús Jaime Moreno-Escoba