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In this chapter we studied the nonlinear co-movements between the MexicanCrude 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 determinethe dynamic co-movement exerted from the oil prices to the stock and exchangerate markets. Such co-movement and time windows are exposed using the Brooks &Hinich (1999) cross- bicorrelation statistical test. The effects of oil spillson other markets have been studied from different angles and on severalfinancial assets. In this study, we focus our attention on the detection, notonly of the correlations amongst markets but on the epochs in which suchnonlinear dependence might occur. This is important in order to understandbetter, how the markets that drive the economy interact with each other. Wehope to contribute to the literature with such findings, filling a gap in theemerging markets context, in particular, for the Mexican case.

A study of co-movements between oil price, stock index and exchange rate under a cross-bicorrelation perspective: the case of Mexico