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A CONDITIONAL CORRELATION ANALYSIS FOR THE COLOMBIAN STOCK MARKET

Giovanny Sandoval Paucar

MPRA Paper from University Library of Munich, Germany

Abstract: The article investigates the uncertainty and interdependence between the Colombian stock market and the main international markets. A Dynamic Conditional Correlation Model (DCC) is estimated to study the interdependence between selected stock markets and a GARCH model to analyze conditional volatility. To this end, a daily data sample is used, covering the period between January, 2001 and September, 2018. The results show that the subprime crisis period generates a significant positive effect on the conditional volatility. In addition, there is a significant co-movement in time between the Colombian stock market and national and international markets. Finally, I find evidence of financial contagion in periods of the subprime crisis and European debt

Keywords: Dynamic conditional correlation; financial crises; multivariate GARCH; financial markets; interdependence (search for similar items in EconPapers)
JEL-codes: C15 F32 F36 G15 (search for similar items in EconPapers)
Date: 2021-05-25
New Economics Papers: this item is included in nep-ets and nep-fmk
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