Vol. 10 No. 2 (2016), Artículos
Vol. 10 No. 2 (2016)

COMOVEMENTS IN LATIN AMERICAN EQUITY MARKETS: EVIDENCE WITH COVAR

Artículos
Published 2016-07-11
Anna Paola Fernandes Freire
Programa Multi-institucional e Inter-regional de Pós-Graduação em Ciências Contábeis Universidade de Brasília Universidade Federal da Paraíba Universidade Federal do Rio Grande do Norte
Aline Moura Costa da Silva
Programa Multi-institucional e Inter-regional de Pós-Graduação em Ciências Contábeis Universidade de Brasília Universidade Federal da Paraíba Universidade Federal do Rio Grande do Norte
Otávio Ribeiro de Medeiros
Universidade de Brasília

Abstract

The paper investigates comovements in equity markets in six Latin American Countries: Argentina, Brazil, Chile, Colombia, Mexico, and Peru. We used the CoVaR method to identify the contagion effect between those countries’ stock exchanges, estimated by quintile regression. It was possible to find out which country has suffered most and which one has caused the highest contagion effect to the others. The results have shown that Peru was the country most vulnerable to risk, Argentina the one that least influenced the risk of other countries analyzed, and Mexico, followed by Brazil, the countries that contributed most to the contagion of others. 

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