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Análisis de correlacción condicional. Evidencia para el mercado colombiano

Author

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  • Sandoval Paucar Giovanny

Abstract

El artículo investiga la incertidumbre y la interdependencia entre el mercado accionario colombiano y los principales mercados internacionales. Se estima un modelo Correlación Condicional Dinámica (DCC) para estudiar la interdependencia entre los mercados accionarios seleccionados y un modelo GARCH para analizar la volatilidad condicional. Analizó el período que abarca desde enero de 2001 hasta Septiembre de 2018. Los resultados muestran que el periodo de crisis subprime genera un efecto positivo significativo en la volatilidad condicional. Además, encuentro evidencia de un co-movimiento significativo en el tiempo entre el mercado bursátil colombiano y los mercados nacionales e internacionales. En cuanto a la persistencia, la co-variabilidad con los mercados nacionales es mayor, en relación a los mercados internacionales.

Suggested Citation

  • Sandoval Paucar Giovanny, 2019. "Análisis de correlacción condicional. Evidencia para el mercado colombiano," Documentos de Trabajo 17281, Universidad del Valle, CIDSE.
    • Handle: RePEc:col:000149:017281
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    Keywords

    Propagación de choques financieros; MGARCH; mercados financieros colombianos.;
    All these keywords.

    JEL classification:

    • 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
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F30 - International Economics - - International Finance - - - General

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