Volatility Transmission between US and Latin American Stock Markets: Testing the Decoupling Hypothesis

Serie

• Documentos de Trabajo CIEF

Resumen

• We test for volatility transmission between US and the six largest Latin American stock markets (Argentina, Brazil, Chile, Colombia, Mexico and Peru) using MGARCH-BEKK models in daily frequency from March 1993 to March 2013. As expected, we find strong evidence of volatility transmission from US to the Latin American markets but not so in the opposite direction. Testing the hypothesis of decoupling between US and Brazil and Mexico the evidence goes against it: the conditional correlations between US and the two emerging markets have steadily increased over the sample period and the volatility transmission have become more significant from 2003 onwards. We also find some evidence on the leadership of Brazil in the region, being the only Latin American stock market consistently transmitting volatility to US.

autores

• Agudelo, Diego Alonso
• Cardona, Laura
• Gutiérrez, Marcela

fecha de publicación

• 2015-10

Área temática

• C32 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión; representación de espacios de estados
• F36 - Aspectos financieros de la integración económica
• G15 - Mercados financieros internacionales

Enfoque geográfico

• South America  Continent

Líneas de investigación

• Conditional Correlation
• Decoupling Hypothesis
• Emerging Markets
• MGARCH
• Volatility Transmission

Issue

• 14252