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Return and volatility transmission between world-leading and Latin American stock markets : portfolio implications

Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 7/148, pp. 1-19

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets … (USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of … during the global financial crisis and the crash of the Chinese stock market. Regarding volatility spillover, the results …

Persistent link: https://www.econbiz.de/10012309325

Capital Controls and Stock Market Volatility in Frequency Domain

Orlov, Alexei G. - 2014

The link between capital controls and stock market volatility is examined using frequency domain techniques …. Conventional analyses of the second moments can produce spurious results if the high-frequency volatility is reduced (increased …) while the overall volatility is increased (reduced) …

Persistent link: https://www.econbiz.de/10013055581

International stock market linkages: evidence from Latin America

Diamandis, Panayotis F. - In: Global finance journal 20 (2009) 1, pp. 13-30

Persistent link: https://www.econbiz.de/10003878341

Contagion risks in emerging stock markets : new evidence from Asia and Latin America

Thi Bich Ngoc Tran - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-20

The purpose of this study is to investigate whether contagion actually occurred during three well-known financial crises in 1990s and 2000s: Mexican “Tequila” crisis in 1994, Asian “flu” crisis in 1997 and US subprime crisis in 2007. We apply dynamic conditional correlation models...

Persistent link: https://www.econbiz.de/10011960394

Co-Movements between Latin American and U.S. Stock Markets : Convergence after the Financial Crisis?

Ramirez Hassan, Andres - 2014

Currently, the world is facing a continuous process of integration in di fferent aspects and fi nancial markets are no exception to this development. Despite the fact that global integration is gradual, one can fi nd some specfi c events that might help to accelerate this trend. This paper shows...

Persistent link: https://www.econbiz.de/10013062374

Non-Linear Error Correction Models between the Stock Markets in Latin America and the United States

Valdés, Arturo Lorenzo - 2008

The intention of the present work is to evaluate long-run relations in the stock markets of six Latin American countries (Argentina, Brazil, Chile, Colombia, Mexico and Peru) and the United States stock market, by means of a model in which a cointegration relation exists between the principals...

Persistent link: https://www.econbiz.de/10014215075

Stock Market Co-Movement in Latin America

de Medeiros, Otavio Ribeiro - 2012

This paper investigates co-movement in eight Latin-American stock markets (Argentina, Brazil, Chile, Colombia, Ecuador, Mexico, Peru, and Venezuela) using common factor analysis. The common factors are obtained using principal component analysis (PCA) and therefore account for the maximum...

Persistent link: https://www.econbiz.de/10013108221

The Evolution of Stock Market Integration in the Post-Liberalization Period - a Look at Latin America

Hunter, Delroy M. - 2004

I use ADRs to examine if the equity markets of Argentina, Chile, and Mexico have become internationally integrated in the post-liberalization period and, if not, whether direct and/or indirect barriers are the cause of segmentation. In addition, I assess the evolution of the level of integration...

Persistent link: https://www.econbiz.de/10014069926

The effects of the subprime crisis on the Latin American financial markets : an empirical assessment

Dufrénot, Gilles; Mignon, Valérie; Péguin-Feissolle, Anne - 2010

Persistent link: https://www.econbiz.de/10003996351

The linkage between the U.S. "fear index" and ADR premiums under non-frictionless stock markets

Esqueda, Omar A.; Luo, Yongli; Jackson, Dave - In: Journal of economics and finance 39 (2015) 3, pp. 541-556

Persistent link: https://www.econbiz.de/10011471137

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