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Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis

Helena Chuliá (), Montserrat Guillén and Jorge Uribe ()

Emerging Markets Review, 2017, vol. 31, issue C, 32-46

Abstract: We estimate multivariate quantile models to measure the responses of the six main Latin American (LA) stock markets to a shock in the United States (US) stock index. We compare the regional responses with those of seven developed markets. In general, we document weaker tail-codependences between the US and LA than those between the US and the mature markets. Our results suggest possible diversification strategies that could be exploited by investing in Latin America following a sizable shock to the US market. We also document asymmetrical responses to the shocks depending on the conditioning quantile at which they are calculated.

Keywords: International spillovers; Quantile regression; Emerging markets; Stock markets (search for similar items in EconPapers)
JEL-codes: F21 F30 G15 (search for similar items in EconPapers)
Date: 2017
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Working Paper: Spillovers From the United States to Latin American and G7 Stock Markets: a VAR Quantile Analysis (2015) Downloads
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