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Global Financial Crisis Volatility Impact and Contagion Effect on NAFTA Equity Markets / Impacto de la volatilidad y efecto de contagio de la crisis global financiera en los mercados bursátiles del TLCAN

Author

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  • Sosa, Miriam

    (co-autor)

  • Ortiz, Edgar

Abstract

The aim of this paper is to analyze the contagion effect and the impact of the global financial crisis in NAFTA bloc stock markets´ volatility, using rolling window correlation and a GARCH approach. Once the contagion effect is established through an increasing correlation during the crisis period, volatility changes and leverage effects are tested with symmetric and asymmetric GARCH models with a dummy variable in the variance equation. Canada, the United States and Mexico´s equity markets stock indexes daily yields, in US dollars, from January 2003 through February 2015 were studied. Results confirmed the presence of asymmetric volatility during the whole period and an increasing volatility since the Global Financial Crisis./ El objetivo de esta investigación es analizar el impacto de la crisis financiera global en la dinámica de la volatilidad de los mercados accionarios del bloque TLCAN, usando correlación medida a través de ventanas móviles y modelos GARCH simétricos (GARCH 1,1) y asimétricos (TARCH 1,1). Las variables financieras empleadas son los rendimientos de los precios de cierre diarios de los índices bursátiles: S&P 500 (Estados Unidos), IPC (México) y S&P TSE Composite (Canadá) en dólares de Estados Unidos, durante el periodo del primero de enero de 2003 al 27 de febrero de 2015. La evidencia confirma la existencia de volatilidad asimétrica en las series durante todo el periodo de estudio, así como incremento en la volatilidad a partir de la crisis bursátil presentada en 2007.

Suggested Citation

  • Sosa, Miriam & Ortiz, Edgar, 2017. "Global Financial Crisis Volatility Impact and Contagion Effect on NAFTA Equity Markets / Impacto de la volatilidad y efecto de contagio de la crisis global financiera en los mercados bursátiles del TL," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 7(1), pages 67-88, enero-jun.
  • Handle: RePEc:sfr:efruam:v:7:y:2017:i:1:p:67-88
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    Citations

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    Cited by:

    1. Javier Emmanuel Anguiano Pita & Antonio Ruiz Porras, 2020. "Market dynamics and integration of the financial markets of the NAFTA countries," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 92, pages 67-100, Enero-Jun.
    2. Miriam Sosa & Edgar Ortiz & Alejandra Cabello, 2022. "ESG Green Equity Finance Risk and Links in Mexico: Conditional Volatility and Markov Switching Vector Analyses," 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. 17(4), pages 1-21, Octubre -.

    More about this item

    Keywords

    NAFTA; GARCH; TARCH; financial crisis; leverage effect; volatilidad asimétrica; GARCH; TARCH; TLCAN; crisis financiera;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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