Vol. 10 Núm. 2 (2016), Artículos
Vol. 10 Núm. 2 (2016)

CO-MOVIMIENTOS EN MERCADOS BURSÁTILES EN AMÉRICA LATINA: LA EVIDENCIA CON EL COVAR

Artículos
Publicado 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

Resumen

El artículo investiga los co-movimientos de los mercados bursátiles de seis países latinoamericanos: Argentina, Brasil, Chile, Colombia, México y Perú. Se utilizó el método CoVaR para identificar el efecto de contagio entre las bolsas de estos países, que se estima por regresión cuantil. Por lo tanto, fue posible ver el país que más sufre y lo que más causa el efecto contagio a los otros. Los resultados mostraron que Perú fue el país más vulnerable al riesgo; Argentina, el país que menos ha afectado el riesgo de otros países analizados; y México, seguido de Brasil, los países que más han contribuido al contagio de los otros.
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