Spillover Effects of the 2008 Financial Crisis in Latin America Stock Markets

Jae-Kwang Hwang ()

International Advances in Economic Research, 2014, vol. 20, issue 3, 324 pages

Abstract: This paper examines the transmission of the 2008 US financial crisis to four Latin American stock markets using daily stock returns from 2006 to 2010, analyzing before, during and after the 2008 financial crisis. The empirical evidence presents a financial contagion by showing persistently higher and more volatile pair-wise conditional correlations during the crisis period. This indicates there are structural changes in mean and volatility of the correlation coefficients due to the 2008 financial crisis in Latin American markets. The results here could be useful in international portfolio diversification decision-making in Latin American region. In addition, the predicting the volatility in different markets could be a useful input for reducing financial instability in crisis episodes to policy makers. Copyright International Atlantic Economic Society 2014

Keywords: Conditional correlation; DCC-GARCH; Financial contagion; The 2008 financial crisis; G15 (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s11294-014-9472-1

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