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This paper uses a multivariate extension of the non-parametric nonlinearity test from Hinich (1991) with the objective of investigating whether there is a nonlinear relation between the index of The Mexican Stock Exchange (IPC) and the peso/dollar exchange rate measured through the Cross-correlation and cross-correlation in the period 1994-2012 for three sub-periods of presidential administration. This method divides the sample into windows and provides information on nonlinear dependency. The main finding is that no significant cross-correlation windows are detected. However, time windows are observed with a significant cross bicorrelation, which suggests a non-linear and bidirectional relationship between the series. This paper concludes that for the three sub-periods of presidential administration both series maintain the same nonlinear and bidirectional relation for any change in the government with significant windows concentrated at the beginning of the presidential period regardless of the ruling party. Finally, It is important to note that the non-linear bidirectional periods were concentrated in the middle of the last Mexican presidential period, indicating that global external and economic financial factors affected this relationship. Resumen 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.

Non-Linear Multivariate Dependence between the Mexican Stock Market Index and the Exchange Rate: Efficiency Hypothesis and Political Cycle in Mexico (1994-2012)