¿Ocurrió efecto contagio en los mercados de acciones de América Latina durante la crisis financiera global?
This paper tests the existence of financial contagion between US and Latin America stock markets based on the analysis of pattern of the correlation coefficients during crisis and stable periods. The study applies a dynamic conditional correlation multivariate GARCH model to estimate time-varying correlations and adopts the t-statistics test under a bootstrap procedure to examine the potential channels of financial contagion effects on emerging stock markets. The empirical results confirm that the estimated correlations has increased significantly in the period of financial turmoil as result of the presence of strong structural changes. Moreover, the study provides evidence that Brazil, Chile, Colombia Mexico and Peru stock markets are significantly affected by the contagion effects from the global financial crisis. However, Argentina stock market exhibits strong evidence of interdependence with the USA stock market. The findings have important implications for investors and policy makers, which seek preventive mechanisms to avoid negative effects of the financial contagion in emerging stock markets.
Alternative title: | Did the contagion effect occur on the Latin America stock markets during the global financial crisis? |
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Year of publication: |
2020
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Authors: | de Jesús Gutiérrez, Raúl |
Published in: |
Revista de Métodos Cuantitativos para la Economía y la Empresa. - ISSN 1886-516X. - Vol. 29.2020, p. 237-258
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Publisher: |
Sevilla : Universidad Pablo de Olavide |
Subject: | emerging stock markets | contagion | global financial crisis | DCC-MGARCH models |
Saved in:
freely available
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | Spanish |
Other identifiers: | 10.46661/revmetodoscuanteconempresa.3312 [DOI] 1727303083 [GVK] hdl:10419/286196 [Handle] |
Classification: | C5 - Econometric Modeling ; C22 - Time-Series Models ; G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets |
Source: |
Persistent link: https://www.econbiz.de/10014494541
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