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Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/120085
Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis
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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.
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CHULIÁ SOLER, Helena, GUILLÉN, Montserrat and URIBE GIL, Jorge Mario. Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis. Emerging Markets Review. 2017. Vol. 31, num. June, pags. 32-46. ISSN 1566-0141. [consulted: 7 of August of 2026]. Available at: https://hdl.handle.net/2445/120085