scholarly journals Volatility Transmission between US and Latin American Stock Markets: Testing the Decoupling Hypothesis

2015 ◽  
Author(s):  
Laura Cardona ◽  
Marcela Gutiirrez ◽  
Diego Agudelo
Keyword(s):  
Latin American ◽  
Stock Markets ◽  
Volatility Transmission

scholarly journals Return and Volatility Transmission between World-Leading and Latin American Stock Markets: Portfolio Implications

2020 ◽  
Vol 13 (7) ◽  
pp. 148 ◽  
Author(s):  
Imran Yousaf ◽  
Shoaib Ali ◽  
Wing-Keung Wong
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Latin American ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Volatility Spillover ◽  
Chinese Stock Market ◽  
Volatility Transmission ◽  
The Us ◽  
The Global Financial Crisis

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets (USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of the Chinese stock market of 2015. Regarding return spillover, our findings reveal a unidirectional return transmission from Mexico to the US stock market during the global financial crisis. During the crash of the Chinese stock market, the return spillover is found to be unidirectional from the US to the Brazil, Chile, Mexico, and Peru stock markets. Moreover, the results indicate a unidirectional return transmission from China to the Brazil, Chile, Mexico, and Peru stock markets during the global financial crisis and the crash of the Chinese stock market. Regarding volatility spillover, the results show the bidirectional volatility transmission between the US and the stock markets of Chile and Mexico during the global financial crisis. During the Chinese crash, the bidirectional volatility transmission is observed between the US and Mexican stock markets. Furthermore, the volatility spillover is unidirectional from China to the Brazil stock market during the global financial crisis. During the Chinese crash, the volatility spillover is bidirectional between the China and Brazil stock markets. Lastly, a portfolio analysis application has been conducted.

An Analysis of “Sell in May and Go Away” Strategy in Latin American Stock Markets

2021 ◽  
pp. 1-26
Author(s):  
Juliano Ribeiro de Almeida ◽  
Daniel Reed Bergmann ◽  
José Roberto Ferreira Savoia ◽  
Guilherme Ribeiro de Almeida ◽  
Marina Arantes Braga
Keyword(s):  
Latin American ◽  
Stock Markets

scholarly journals Do psychological barriers exist in Latin American stock markets?

2020 ◽  
Vol 35 (2) ◽  
pp. 29-56
Author(s):  
Júlio Lobão ◽  
Natércia Fortuna ◽  
Franklin Silva
Keyword(s):  
Latin American ◽  
Stock Markets ◽  
Psychological Barriers

scholarly journals Evaluación del efecto tamaño de empresa en los mercados bursátiles de América Latina

2013 ◽  
Vol 17 (37) ◽  
pp. 5-28
Author(s):  
Juan Benjamín Duarte Duarte ◽  
Zulay Yesenia Ramírez León ◽  
Katherine Julieth Sierra Suárez
Keyword(s):  
Latin America ◽  
Size Effect ◽  
Cross Section ◽  
Latin American ◽  
Stock Markets ◽  
The Cross ◽  
America Latina

This paper assesses the existence of the size effect on the most important stock markets in Latin America (Argentina, Brazil, Chile, Colombia, Mexico and Peru) for the period between 2002 and 2012, using the cross-section contrast methodology of the size effect in the CAPM context. Results show that there is reversed effect in some of the Latin American markets.

scholarly journals A study of co-movements between U.S. and Latin American stock markets: A cross-bicorrelations perspective

DYNA ◽  
2016 ◽  
Vol 83 (196) ◽  
pp. 143-148 ◽  
Author(s):  
Semei Coronado-Ramirez ◽  
Omar Rojas-Altamirano ◽  
Rafael Romero-Meza ◽  
Francisco Venegas-Martínez
Keyword(s):  
Stock Market ◽  
Latin American ◽  
Stock Markets ◽  
Nonlinear Dependence ◽  
Standard And Poor's ◽  
Non Linear ◽  
Market Indexes

<p>This work applies a test that detects dependence between pairs of variables. The kind of dependence is a non-linear one, and the test is known as cross-bicorrelation, which is associated with Brooks and Hinich [1]. We study dependence periods between U.S. Standard and Poor's 500 (SP500), used as a benchmark, and six Latin American stock market indexes: Mexico (BMV), Brazil (BOVESPA), Chile (IPSA), Colombia (COLCAP), Peru (IGBVL) and Argentina (MERVAL). We have found windows of nonlinear dependence and comovement between the SP500 and the Latin American stock markets, some of which coincide with periods of crisis, leading to an interpretation of a possible contagion or interdependence.</p>

The Impact of Regulatory Standards, Interest Rates and Trading Volume on Volatility Transmission between Cross-Listed European Equities

2009 ◽  
Vol 10 (1) ◽  
pp. 89-105
Author(s):  
Koulakiotis Dasilas ◽  
Tolikas Molyneux
Keyword(s):  
Interest Rates ◽  
Stock Markets ◽  
Trading Volume ◽  
Positive Impact ◽  
Stock Exchanges ◽  
Volatility Transmission ◽  
Volatility Spillovers ◽  
Regulatory Standards ◽  
European Stock Markets ◽  
The Impact

This paper investigates the relationship between volatility transmission and stock market regulatory structures, interest rates and trading volume for European securities which are cross-listed on stock exchanges of higher, lower or similar regulatory standards compared to their home stock markets. The empirical results suggested that the regulatory environment has a significant impact on volatility spillovers and the level of interest rates and trading volume have a positive impact on the magnitude and persistence of these volatility spillovers. These findings have potentially important implications for both regulators and investors who are concerned with the effectiveness of legislation aiming to harmonise the European stock markets and the effects of volatility transmission on investment positions across European stock markets.

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