International Stock Market Linkages and Spillovers: Evidence from Three Latin American Countries

Autor:	Priti Verma, Teofilo Ozuna
Rok vydání:	2008
Předmět:	Latin Americans Welfare economics Equity (finance) Openness to experience Economics Business Management and Accounting (miscellaneous) Stock market International economics Business and International Management Volatility (finance) Emerging markets
Zdroj:	Latin American Business Review. 8:60-81
ISSN:	1528-6932 1097-8526
DOI:	10.1080/10978520802114672
Popis:	Using a multivariate exponential generalized autoregressive conditionally heteroscedastic (M-EGARCH) model, this study examines price and volatility spillovers and response asymmetries between the equity markets of the United States and Brazil, Chile and Mexico. Our results vary depending on the openness of the country in terms of international trade. Evidence indicates that there are price and volatility spillovers from the United States to Mexico and Chile and but not to Brazil. In addition, our results indicate response asymmetries for Mexico and Chile, suggesting that the Mexican and Chilean markets are more sensitive to negative innovations originating from other markets than to positive innovations. RESUMEN. Este estudio examina contagios de precio y volatilidad, y respuestas asimetricas entre los mercados de capital de Estados Unidos y Brasil, Chile y Mexico, fundandose en un modelo exponencial generalizado multivariado, con un condicionante autoregresivo heteroscedastico (M-EGARCH). Los r...
Databáze:	OpenAIRE
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