Publicado

2015-01-01

Interdependencia de Mercados y Transmisión de Volatilidad en Latinoamérica

Market Interdependence and Transmission of Volatility in Latin America

Interdependência de mercados e transmissão de volatilidade na américa latina

DOI:

https://doi.org/10.15446/innovar.v25n55.47231

Palabras clave:

Volatilidad, mercados emergentes, contagio (es)
Volatility, emerging markets, contagion (en)
Volatilidade, mercados emergentes, contágio (pt)

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Autores/as

  • Gabriel Valenzuela Rutgers Business School
  • Arturo Rodríguez Universidad de Chile

El mayor acceso a mercados financieros foráneos ha influido en una mayor interrelación entre ellos, evidenciado en la existencia de comovimiento en las mayores plazas bursátiles del mundo. En este trabajo, exploramos la existencia de interdependencia entre las seis principales plazas bursátiles de Latinoamerica y Estados Unidos, enfocándonos en la volatilidad de los retornos accionarios. Mediante utilización de modelos VECM y Descomposición de Varianza, se encuentra evidencia de trasmisión de volatilidad, la cual varía en el tiempo, según análisis del tipo rolling.

Greater access to foreign financial markets has influenced a greater interrelation among them, demonstrated by the greater comove-ment in the world's major stock markets. In this paper, we explore the interdependence between the six main stock exchanges in Latin America and the United States, focusing on the volatility of stock returns. By using VECM models and variance decomposition, we found evidence of volatility transmission, which varies through time according to time series rolling analysis.
O maior acesso a mercados financeiros estrangeiros tem influenciado em maior inter-relação entre eles, visto na existência de co-movi-mento nas maiores bolsas do mundo. Neste artigo, exploramos a existência de interdependência entre as seis principais bolsas da America Latina e dos Estados Unidos, visando a volatilidade dos retornos acionários. Mediante utilização de modelos VECM e decomposição de variância, encontramos evidência de transmissão de volatilidade, a qual varia no tempo, segundo análise do tipo rolling.

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Valenzuela, G., & Rodríguez, A. (2015). Interdependencia de Mercados y Transmisión de Volatilidad en Latinoamérica. Innovar, 25(55), 157-170. https://doi.org/10.15446/innovar.v25n55.47231

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