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Volatility Contagion of Stock Returns of Microfinance Institutions in Emerging Markets: A DCC-M-GARCH Model

Author

Listed:
  • Roberto Alejandro Ramírez-Silva

    (Instituto Politécnico Nacional)

  • Salvador Cruz-Aké

    (Instituto Politécnico Nacional)

  • Francisco Venegas-Martínez

    (Instituto Politécnico Nacional)

Abstract

El objetivo del presente trabajo es analizar el contagio en los rendimientos en las volatilidades de las Instituciones Microfinancieras (IMFs) que cotizan en mercados bursátiles emergentes en India, Indonesia y México. Para ello se incluyen en el análisis variables benchmarck locales y el índice global -All Countries World Index (ACWI). La metodología que se utiliza es la de un modelo multivariable GARCH de Correlación Condicional Dinámica (DCC). Los resultados empíricos encontrados muestran que los efectos de contagio sólo se dan en periodos de alta volatilidad. Una limitación que presenta esta investigación es que aún son pocas las IMFs listadas en bolsas, lo que impide realizar un estudio más amplio. La originalidad de este trabajo es el análisis de contagio en los rendimientos de las IMFs listadas en bolsa. Se concluye que el desempeño de las IMFs analizadas no se ve afectado por efectos externos de volatilidad, sino por sus resultados fundamentales reflejados en su nivel de liquidez bursátil.

Suggested Citation

  • Roberto Alejandro Ramírez-Silva & Salvador Cruz-Aké & Francisco Venegas-Martínez, 2018. "Volatility Contagion of Stock Returns of Microfinance Institutions in Emerging Markets: A DCC-M-GARCH Model," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 13(3), pages 325-343, Julio-Sep.
    • Handle: RePEc:imx:journl:v:13:y:2018:i:3:p:325-343
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    More about this item

    Keywords

    Microfinance institutions; volatility of returns; GARCH and M-GARCH models; Dynamic Conditional Correlation (DCC);
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G2 - Financial Economics - - Financial Institutions and Services

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