کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7376926 1480111 2016 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Volatility transmission among Latin American stock markets under structural breaks
ترجمه فارسی عنوان
انتقال نوسانات در بازارهای سهام آمریکای لاتین تحت اختلالات ساختاری
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
چکیده انگلیسی
The paper investigates the volatility spillovers among five major Latin American (LA) stock markets under the presence of the structural breaks in variance. We employ a multivariate dynamic conditional correlation (DCC GARCH) model allowing for structural breaks in variance. The dynamic correlations show that volatility spillover effects among the markets are not strong. Causality in mean tests indicate one way causality from BOVESPA to all markets, whereas causality in variance tests indicate one way causality only from BOVESPA to IPSA. These findings suggest that while the markets in the sample are interdependent, there is not enough statistical evidence to infer the contagion effects among the markets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 462, 15 November 2016, Pages 330-340
نویسندگان
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