Volatility transmission between US and Latin American Stock Markets: testing the decoupling hypothesis.

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dc.contributor.authorAgudelo, Diego A.
dc.contributor.authorGutiérrez, Marcela
dc.contributor.authorCardona, Laura
dc.contributor.eafitauthordagudelo@eafit.edu.co
dc.contributor.eafitauthormgutie12@eafit.edu.co
dc.contributor.eafitauthorlcardona@eafit.edu.co
dc.coverage.spatialMedellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degreeseng
dc.date.accessioned2016-02-15T21:42:00Z
dc.date.available2016-02-15T21:42:00Z
dc.date.issued2015-10-01
dc.description.abstractWe test for volatility transmission between US and the six largest Latin American stock markets (Argentina, Brazil, Chile, Colombia, Mexico and Peru) using MGARCH-BEKK models in daily frequency from March 1993 to March 2013. As expected, we find strong evidence of volatility transmission from US to the Latin American markets but not so in the opposite direction. Testing the hypothesis of decoupling between US and Brazil and Mexico the evidence goes against it: the conditional correlations between US and the two emerging markets have steadily increased over the sample period and the volatility transmission have become more significant from 2003 onwards. We also find some evidence on the leadership of Brazil in the region, being the only Latin American stock market consistently transmitting volatility to US.eng
dc.identifier.jelG15
dc.identifier.jelF36
dc.identifier.jelC32
dc.identifier.urihttp://hdl.handle.net/10784/8011
dc.language.isoengeng
dc.publisherUniversidad EAFITspa
dc.publisher.departmentEscuela de Economía y Finanzasspa
dc.rights.accessrightsinfo:eu-repo/semantics/openAccesseng
dc.rights.localAcceso abiertospa
dc.subject.keywordVolatility transmissionspa
dc.subject.keywordMGARCHspa
dc.subject.keyworddecoupling hypothesisspa
dc.subject.keywordemerging marketsspa
dc.subject.keywordconditional correlationspa
dc.titleVolatility transmission between US and Latin American Stock Markets: testing the decoupling hypothesis.eng
dc.typeworkingPapereng
dc.typeinfo:eu-repo/semantics/workingPapereng
dc.type.hasVersiondrafteng
dc.type.localDocumento de trabajo de investigaciónspa

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