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A Conditional Correlation Analysis For The Colombian Stock Market

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  • Sandoval Paucar, Giovanny

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

Suggested Citation

  • Sandoval Paucar, Giovanny, 2021. "A Conditional Correlation Analysis For The Colombian Stock Market," MPRA Paper 107963, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:107963
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    More about this item

    Keywords

    Dynamic conditional correlation; financial crises; multivariate GARCH; financial markets; interdependence;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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