Stock market volatility spillovers: Evidence for Latin America
Santiago Gamba (sgamba947@gmail.com),
Jose Gomez-Gonzalez,
Jorge Luis Hurtado-Guarin and
Luis Melo-Velandia
Finance Research Letters, 2017, vol. 20, issue C, 207-216
Abstract:
We extend the framework of Diebold and Yilmaz (2009b) and Diebold and Yilmaz (2012) and construct volatility spillover indexes using a DCC-GARCH framework to model the multivariate relationships of volatility among assets. We compute spillover indexes directly from the series of asset returns and recognize the time-variant nature of the covariance matrix. Our approach allows for a better understanding of the movements of financial returns within a framework of volatility spillovers. We apply our method to stock market indexes of the United States and four Latin American countries. Our results show that Brazil is a net volatility transmitter for most of the sample period, while Chile, Colombia and Mexico are net receivers. The total spillover index is substantially higher between 2008Q3 and 2012Q2, and shock transmission from the United States to Latin America substantially increased around the Lehman Brothers’ episode.
Keywords: Volatility spillovers; DCC-GARCH model; Stock market linkages; Financial crisis (search for similar items in EconPapers)
JEL-codes: C32 G01 G15 (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (38)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S154461231630191X
Full text for ScienceDirect subscribers only
Related works:
Working Paper: Stock Market Volatility Spillovers: Evidence for Latin America (2016) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:20:y:2017:i:c:p:207-216
DOI: 10.1016/j.frl.2016.10.001
Access Statistics for this article
Finance Research Letters is currently edited by R. Gençay
More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).