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Volatility Co-Movement Among Latin American Stock Exchanges: Bad Times Vs. Good Times

Author

Listed:
  • Jesús Téllez Gaytán

    (Tecnológico de Monterrey, Campus Estado de México)

  • Carlos A. Martínez

    (Tecnológico de Monterrey, Campus Estado de México)

Abstract

En este documento se compara el comportamiento de la volatilidad entre Bolsas de Valores de América Latina durante dos periodos: tiempos de crisis contra tiempos tranquilos. EI propósito es verificar el nivel y dirección de los movimientos de Ia volatilidad. Los resultados arrojan que los rendimientos de los índices accionarios se distribuyen con colas anchas, por Io que el modelo GARCH se estimó bajo el supuesto de distribución t-student en los errores estandarizados. El sistema VAR indica que el IP&C, IPSA, IBOVESPA y Merval, son los mercados fuertemente correlacionados. El co-movimiento de Ia volatilidad entre estos mercados fue mayor durante tiempos de crisis respecto a tiempos tranquilos, por lo que la volatilidad fue bi-direccional en tiempos malos. Se concluye que el co-movimiento de la volatilidad definida también como contagio de la volatilidad, se puede clasificar como un tipo de incremento en la correlación de shocks.

Suggested Citation

  • Jesús Téllez Gaytán & Carlos A. Martínez, 2005. "Volatility Co-Movement Among Latin American Stock Exchanges: Bad Times Vs. Good Times," 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. 4(4), pages 387-426, Diciembre.
    • Handle: RePEc:imx:journl:v:4:y:2005:i:4:p:387-426
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    References listed on IDEAS

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    More about this item

    Keywords

    Heteroskedasticity; Contagian; VAR;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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