"Sincronización de Fase en los Mercados Internacionales de Capitales, Evidencia de Integración "

Abstract

We show empirical evidence about phase synchronization of stock market indices of the most important world economies. For this we use chaos control theory in order to find some properties on the evolution of those indices and determining whether or not international diversification is possible using common financial instruments. Analyses presented are essentially phenomenological; that is, assumptions such as normality often restrain application of some traditional methodologies. Similarly, we show that phase synchronization does not eliminate, but reduces potential benefits for portfolios composed of financial index tracks because they tend to match the number and size of excesses after VaR in times of high volatility. This implies the presence of a macro system that sobresee local markets at times of high volatility.