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Medición y análisis de los spillovers entre el S&P500 y los mercados del MILA antes y durante la expansión inicial de la pandemia por COVID

Author

Listed:
  • Francisco López-Herrera
  • César Gurrola-Ríos
  • Domingo Rodríguez-Benavides

Abstract

En el presente artículo se estudian los spillovers (derrames) entre el S&P500 y el Mercado Integrado Latinoamericano para verificar si el inicio de la epidemia por COVID-19 y el entorno de ese momento cambiaron la dinámica de su nivel de conectividad. Usando la metodología propuesta por Diebold y Yilmaz se estimaron y analizaron índices de spillovers, desde y hacia, los mercados de Estados Unidos y del Mercado Integrado Latinoamericano. Los resultados confirman la existencia de spillovers provenientes del S&P500, sin que hayan sido mayores que los que se presentaron durante los anos previos a 2020, con excepción del mercado mexicano, que recibió una mayor influencia. Los resultados pueden ser útiles para orientar decisiones de financiamiento e inversión en los mercados bursátiles de la región en el Mercado Integrado Latinoamericano

Suggested Citation

  • Francisco López-Herrera & César Gurrola-Ríos & Domingo Rodríguez-Benavides, 2021. "Medición y análisis de los spillovers entre el S&P500 y los mercados del MILA antes y durante la expansión inicial de la pandemia por COVID," Estudios Gerenciales, Universidad Icesi, vol. 37(159), pages 178-187, June.
    • Handle: RePEc:col:000129:019324
    DOI: 10.18046/j.estger.2021.159.4391
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    More about this item

    Keywords

    spillovers; conectividad; MILA; S&P500; COVID-19;
    All these keywords.

    JEL classification:

    • F15 - International Economics - - Trade - - - Economic Integration
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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