¿Ocurrió efecto contagio en los mercados de acciones de América Latina durante la crisis financiera global?

Autores/as

  • Raúl de Jesús Gutiérrez Universidad Autónoma del Estado de México

Palabras clave:

mercados de acciones emergentes, contagio financiero, crisis financiera global, modelos MGARCH-CCD.

Resumen

Este trabajo prueba la existencia de contagio financiero entre los mercados de acciones de la región de América Latina y el mercado de acciones de Estados Unidos basado en el análisis del comportamiento de las correlaciones en periodos de estabilidad y crisis. El estudio emplea un modelo GARCH de correlaciones condicionales dinámicas multivariado para estimar las correlaciones cambiantes en el tiempo, y utiliza la prueba estadística-t bajo un procedimiento bootstrap para analizar los posibles canales de efectos de contagio financiero en los mercados de acciones emergentes. Los resultados muestran que las correlaciones estimadas se incrementaron en el periodo de la turbulencia financiera, como consecuencia de la presencia de cambios estructurales fuertes. Asimismo, el estudio proporciona evidencia de que los mercados de acciones de Brasil, Chile, Colombia, México y Perú son fuertemente contagiados durante la crisis financiera global. Sin embargo, el mercado de acciones de Argentina muestra evidencia de interdependencia con respecto al mercado de acciones de Estados Unidos. Los hallazgos tienen importantes implicaciones para los inversionistas y diseñadores de la política económica que buscan apropiados mecanismos para evitar los efectos negativos del contagio financiero en los mercados de acciones emergentes.

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Publicado

2020-04-23

Cómo citar

de Jesús Gutiérrez, R. (2020). ¿Ocurrió efecto contagio en los mercados de acciones de América Latina durante la crisis financiera global?. Revista De Métodos Cuantitativos Para La Economía Y La Empresa, 29, 237-258. Recuperado a partir de https://www.upo.es/revistas/index.php/RevMetCuant/article/view/3312

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