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COVID-19 and its short-term informational impact on the stock markets of the Pacific Alliance countries

Author

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  • Carlos David Cardona-Arenas

    (Universidad de Manizales)

  • Rafael Gómez-Gómez

    (Universidad de Manizales)

  • Eliana Morales-Zuluaga

    (Universidad de Manizales)

Abstract

The processes of localisation and investment optimisation present a challenge when it comes to emerging markets. The phenomena of low diversification and efficiency in some economies do not allow structurers to adequately visualize the dynamics and risks involved. This article aims to establish, by means of a recursive VAR, the transitive impacts that exist between the stock markets of the countries that make up the Pacific Alliance: Chile, Colombia, Mexico and Peru. The findings show that Mexico and Chile are the markets with the greatest depth and liquidity and are therefore the first to react to a random and exogenous shock such as the one caused by the informational impact of COVID-19, while the markets of Colombia and Peru experience a high degree of dependence on the impacts caused in the markets of countries with higher levels of efficiency and depth.

Suggested Citation

  • Carlos David Cardona-Arenas & Rafael Gómez-Gómez & Eliana Morales-Zuluaga, 2023. "COVID-19 and its short-term informational impact on the stock markets of the Pacific Alliance countries," SN Business & Economics, Springer, vol. 3(5), pages 1-23, May.
    • Handle: RePEc:spr:snbeco:v:3:y:2023:i:5:d:10.1007_s43546-023-00469-6
    DOI: 10.1007/s43546-023-00469-6
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    More about this item

    Keywords

    Public media coverage; Portfolios; Emerging countries; COVID-19; VAR models;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G0 - Financial Economics - - General
    • G1 - Financial Economics - - General Financial Markets

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