Volatility Dependence and Contagion in Emerging Equity Markets

Sebastian Edwards and Raul Susmel

No 8506, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: In this paper we use weekly stock market data for a group of Latin American countries to analyze the behavior of volatility through time. We are particularly interested in understanding whether periods of high volatility are correlated across countries. The analysis uses both on univariate and bivariate switching volatility models. Our results do not rely on the correlation coefficients, but on the co-dependence of volatility regimes. The results indicate that high-volatility episodes are, in general, short-lived, lasting from two to twelve weeks. We find strong evidence of volatility co-movements across countries, especially among the Mercosur countries.

JEL-codes: F3 G12 (search for similar items in EconPapers)
Date: 2001-10
New Economics Papers: this item is included in nep-fmk, nep-lam and nep-pbe
Note: IFM
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Citations: View citations in EconPapers (151)

Published as Edwards, Sebastian and Raul Susmel. "Volatility Dependence And Contagion In Emerging Equity Markets," Journal of Development Economics, 2001, v66(2,Dec), 505-532.

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Journal Article: Volatility dependence and contagion in emerging equity markets (2001)
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