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Dimensión Empresarial
Print version ISSN 1692-8563
Abstract
VERA-LEYTON, Marcos. CONTAGIO OF THE SHAREHOLDER MARKET: CASES OF COLOMBIA, MEXICO, PERU, CHILE, AND ARGENTINA. Dimens.empres. [online]. 2020, vol.18, n.1, pp.39-77. ISSN 1692-8563. https://doi.org/10.15665/dem.v18i(1).2068.
This document studies the existence of contagion of financial crises in the period between July 3, 2001 and July 3, 2010. To identify the period of crisis and to avoid overestimation of volatility, the algorithm of the sum of iterative cumulative squares and the conditional dynamic correlation model of Engle (2002) is calculated. The document includes a review of various contagion studies; Likewise, it verifies the existence of contagion in the countries studied, except Argentina, although it warns that the impact measure that a crisis of a given country has on the rest of the countries is highly sensitive to the way in which the analysis window is chosen.
Keywords : Contagion; Crisis; DCC; GARCH; ICSS.