Are Latin American stock markets connected? Exploring spillovers and the impact of risk factors

IF 4.6 2区经济学 Q1 BUSINESS, FINANCE

Emerging Markets Review Pub Date : 2025-01-17 DOI:10.1016/j.ememar.2025.101253

Ata Assaf , Mohammad Al-Shboul , Khaled Mokni , Ender Demir

引用次数: 0

Abstract

This paper studies the connectedness among equity markets in Latin America (Argentina, Brazil, Chile, Colombia, Mexico, and Peru) and the effects of fundamental risk factors on the degree of their connectedness. Both time-varying parameters VAR (TVP-VAR) and quantile VAR (Q-VAR) models are used. Based on daily returns covering the period from February 02, 2016, until May 08, 2023, we find evidence of a low level of total connectedness, which is widely intensified in extreme conditions. Each market substantially contributes to its variation and contributes or receives a mild effect from each element in the system. Moreover, we show that the dynamic spillover effects between Latin American stock markets are driven by different uncertainty measures and are mainly affected by the COVID-19 outbreak and the Russian-Ukraine conflict. Our findings are beneficial to investors aiming at optimizing hedging strategies as well as to policymakers in the appropriate policies to manage equity market sensitivity.

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拉美股市相互关联吗？探索风险因素的溢出效应和影响

本文研究了拉丁美洲（阿根廷、巴西、智利、哥伦比亚、墨西哥和秘鲁）股票市场之间的连通性以及基本面风险因素对其连通性程度的影响。采用时变参数VAR （TVP-VAR）和分位数VAR （Q-VAR）模型。根据2016年2月2日至2023年5月8日期间的每日回报，我们发现了低水平的总连通性的证据，这种连通性在极端条件下被广泛强化。每个市场实质上都对其变化做出了贡献，并从系统中的每个元素中贡献或接受轻微的影响。此外，我们发现拉丁美洲股票市场之间的动态溢出效应由不同的不确定性措施驱动，主要受到COVID-19疫情和俄罗斯-乌克兰冲突的影响。我们的研究结果有利于投资者优化对冲策略，也有利于政策制定者制定适当的政策来管理股票市场的敏感性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Emerging Markets Review Multiple-

CiteScore

7.10

自引率

4.20%

发文量

审稿时长

100 days

期刊介绍： The intent of the editors is to consolidate Emerging Markets Review as the premier vehicle for publishing high impact empirical and theoretical studies in emerging markets finance. Preference will be given to comparative studies that take global and regional perspectives, detailed single country studies that address critical policy issues and have significant global and regional implications, and papers that address the interactions of national and international financial architecture. We especially welcome papers that take institutional as well as financial perspectives.