Please use this identifier to cite or link to this item:
Title: Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis
Author: Chuliá Soler, Helena
Guillén, Montserrat
Uribe Gil, Jorge Mario
Keywords: Risc (Economia)
Anàlisi de regressió
Països emergents
Mercat financer
Regression analysis
BRIC countries
Financial market
Issue Date: Jun-2017
Publisher: Elsevier B.V.
Abstract: We estimate multivariate quantile models to measure the responses of the six main Latin American (LA) stock markets to a shock in the United States (US) stock index. We compare the regional responses with those of seven developed markets. In general, we document weaker tail-codependences between the US and LA than those between the US and the mature markets. Our results suggest possible diversification strategies that could be exploited by investing in Latin America following a sizable shock to the US market. We also document asymmetrical responses to the shocks depending on the conditioning quantile at which they are calculated. (C) 2017 Elsevier B.V. All rights reserved.
Note: Versió postprint del document publicat a:
It is part of: Emerging Markets Review, 2017, vol. 31, num. June, p. 32-46
Related resource:
ISSN: 1566-0141
Appears in Collections:Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)

Files in This Item:
File Description SizeFormat 
676812.pdf1.61 MBAdobe PDFView/Open

This item is licensed under a Creative Commons License Creative Commons