Abstract

VALENZUELA, Gabriel  and  RODRIGUEZ, Arturo. Market Interdependence and Transmission of Volatility in Latin America. Innovar [online]. 2015, vol.25, n.55, pp.171-183. ISSN 0121-5051.  https://doi.org/10.15446/innovar.v25n55.47231.

Greater access to foreign financial markets has influenced a greater interrelation among them, demonstrated by the greater comove-ment in the world's major stock markets. In this paper, we explore the interdependence between the six main stock exchanges in Latin America and the United States, focusing on the volatility of stock returns. By using VECM models and variance decomposition, we found evidence of volatility transmission, which varies through time according to time series rolling analysis.

Keywords : Volatility; emerging markets; contagion.

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