A CONDITIONAL CORRELATION ANALYSIS FOR THE COLOMBIAN STOCK MARKET
Giovanny Sandoval Paucar
MPRA Paper from University Library of Munich, Germany
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)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:107963
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