Efecto contagio del mercado estadounidense a los mercados financieros latinoamericanos durante la pandemia por COVID-19

Erik Mauricio Munoz Henríquez () and Francisco A. Gálvez-Gamboa ()

Revista Cuadernos de Economia, 2021, vol. 40, issue 85, 1091-1111

Abstract: Este artículo analiza el efecto contagio de los mercados latinoamericanos y Estados Unidos durante la pandemia por COVID-19, utilizando el modelo DCC-GARCH. El principal hallazgo es la existencia de un efecto contagio, estadísticamente sig- nificativo, durante el periodo de crisis entre EE.UU. y los mercados de Chile, Perú, Colombia, México y Brasil. Ello implica que estos mercados se encontra- ron expuestos a choques externos en la pandemia por COVID-19. Particularmente, México y Brasil presentan un mayor vínculo con el mercado estadounidense. Ade- más, la volatilidad del mercado de EE. UU. tiene un efecto significativo en las correlaciones condicionales de los mercados latinoamericanos. ****** This paper analyses the contagion effect on Latin American markets and the United States during the COVID-19 pandemic using the DCC-GARCH model. The main finding is the determination of the existence of a statistically significant contagion effect between the US and the markets of Chile, Peru, Colombia, Mexico, and Bra- zil during the crisis period, implying that these markets were exposed to external shocks during the COVID-19 pandemic. Particularly, Mexico and Brazil have a stronger link to the U.S. market. In addition, the volatility of the U.S. market has a significant effect on the conditional correlations of the Latin American markets.

Keywords: COVID-19; correlación condicional dinámica; Latinoamérica; mercados financieros; volatilidad. (search for similar items in EconPapers)
JEL-codes: C32 F36 G01 G15 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:col:000093:020314

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