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Transmission Of Risk Across Stock Markets In Latin America

Author

Listed:
  • Tapen Sinha

    (Instituto Tecnológico Autónomo de México)

  • María de los Dolores Sánchez Castañeda

    (University of Oxford)

Abstract

En el argot se acepta generalmente que todos los mercados accionarios de America Latina se vieron afectados como resultado de la crisis que se presentó en la economía mexicana durante 1994-1995. Los medios acuñaron un nombre para este fenómeno: "efecto tequila". Esta "denominación popular" supone implícitamente que los mercados accionarios en el mundo están integrados y el mecanismo de transmisión del riesgo es perfecto. En este trabajo, primero estudiamos el mecanismo de la transmisión en un sentido estadístico perfectamente definido (causalidad de Granger). En segundo lugar, se desarrollan los métodos para medir el mecanismo de dicha transmisión. En tercer lugar, analizamos la relación que existe entre los mercados de acciones con base en datos diarios (Argentina, Brasil, Colombia, chile, México y Venezuela) de los índices de los mercados accionarios latinoamericanos entre 1994 y 1998. Este periodo se caracteriza por las grandes variaciones en los índices de mercado para muchos de los países latinoamericanos. Nuestros resultados de causalidad de Granger muestran que claramente existen relaciones muy fuertes.

Suggested Citation

  • Tapen Sinha & María de los Dolores Sánchez Castañeda, 2002. "Transmission Of Risk Across Stock Markets In Latin America," 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. 1(3), pages 225-241, Septiembr.
    • Handle: RePEc:imx:journl:v:1:y:2002:i:3:p:225-241
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    References listed on IDEAS

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    More about this item

    Keywords

    Cointegration;

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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