Global Financial Crisis Volatility Impact and Contagion Effect on NAFTA Equity Markets / Impacto de la volatilidad y efecto de contagio de la crisis global financiera en los mercados bursátiles del TLCAN

Miriam Sosa () and Edgar Ortiz ()
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Miriam Sosa: co-autor

Estocástica: finanzas y riesgo, 2017, vol. 7, issue 1, 67-88

Abstract: The aim of this paper is to analyze the contagion effect and the impact of the global financial crisis in NAFTA bloc stock markets´ volatility, using rolling window correlation and a GARCH approach. Once the contagion effect is established through an increasing correlation during the crisis period, volatility changes and leverage effects are tested with symmetric and asymmetric GARCH models with a dummy variable in the variance equation. Canada, the United States and Mexico´s equity markets stock indexes daily yields, in US dollars, from January 2003 through February 2015 were studied. Results confirmed the presence of asymmetric volatility during the whole period and an increasing volatility since the Global Financial Crisis./ El objetivo de esta investigación es analizar el impacto de la crisis financiera global en la dinámica de la volatilidad de los mercados accionarios del bloque TLCAN, usando correlación medida a través de ventanas móviles y modelos GARCH simétricos (GARCH 1,1) y asimétricos (TARCH 1,1). Las variables financieras empleadas son los rendimientos de los precios de cierre diarios de los índices bursátiles: S&P 500 (Estados Unidos), IPC (México) y S&P TSE Composite (Canadá) en dólares de Estados Unidos, durante el periodo del primero de enero de 2003 al 27 de febrero de 2015. La evidencia confirma la existencia de volatilidad asimétrica en las series durante todo el periodo de estudio, así como incremento en la volatilidad a partir de la crisis bursátil presentada en 2007.

Keywords: NAFTA; GARCH; TARCH; financial crisis; leverage effect; volatilidad asimétrica; GARCH; TARCH; TLCAN; crisis financiera (search for similar items in EconPapers)
JEL-codes: C58 F65 G01 G15 (search for similar items in EconPapers)
Date: 2017
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