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Incidencia de las fluctuaciones del índice VIX en la volatilidad de los mercados bursátiles latinoamericanos / VIX Index Spillover on Latin American Stock Markets Volatility

Author

Listed:
  • Fonseca-Ramírez, Alejandro

    (EGADE Business School. Tecnológico de Monterrey. Campus Monterrey)

  • Santillán-Salgado, Roberto J.

    (EGADE Business School. Tecnológico de Monterrey. Campus Monterrey)

  • López-Herrera, Francisco

    (División de Investigación, Facultad de Contaduría y Administración, Universidad Nacional Autónoma de México)

Abstract

En este trabajo se estudia la incidencia de las fluctuaciones del índice VIX sobre la volatilidad de los rendimientos de los principales mercados latinoamericanos (Brasil, Chile, Colombia, México y Perú) durante el periodo que va de enero del 2003 hasta principios de abril del 2017. El análisis econométrico utiliza un modelo Multivariado GARCH Asimétrico con correlaciones dinámicas A-MGARCH (DCC), y sus resultados muestran una relación estadísticamente significativa tanto en el corto como en el largo plazo en solamente dos casos: Chile y Perú. También se estudia el contagio de la volatilidad entre pares de países y la presencia de asimetría en el comportamiento de la volatilidad de los mercados estudiados. Como conclusión, se proponen algunas recomendaciones sobre la cobertura de los riesgos de mercado para aquellos inversionistas cuyos portafolios contienen acciones de empresas latinoamericanas / In this paper VIX Index fluctuations influence on the returns volatility of the main Latin American Stock Markets (Brazil, Chile, Colombia, México and Peru) is analyzed during the period between January 2003 to April 2017. The econometric model used was a Multivariate GARCH with asymmetric dynamic correlations A-MGARCH (DCC) model, and its results show a statistically significant relationship, both in the short and the long term, in only two cases: Chile and Peru. It also examines the volatility spread between each pair of countries and the presence of asymmetry in the volatility behavior on the Stock Markets studied. As a conclusion, recommendations for investors to cover market risk in portfolios including Latin American companies’ stocks are made

Suggested Citation

  • Fonseca-Ramírez, Alejandro & Santillán-Salgado, Roberto J. & López-Herrera, Francisco, 2019. "Incidencia de las fluctuaciones del índice VIX en la volatilidad de los mercados bursátiles latinoamericanos / VIX Index Spillover on Latin American Stock Markets Volatility," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 9(1), pages 97-123, enero-jun.
    • Handle: RePEc:sfr:efruam:v:9:y:2019:i:1:p:97.123
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    Keywords

    América Latina; derrames de volatilidad; mercados financieros; integración financiera internacional; modelos MGARCH asimétricos / Latin America Volatility Spillover; Financial Markets; International Financial Integration; Asymmetric MGARCH Models;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

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