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COVID-19 y causalidad en la volatilidad del mercado accionario chileno

Author

Listed:
  • Rafael Romero-Meza
  • Semei Coronado
  • Fabricio Ibañez-Veizaga

Abstract

En esta investigación se estudió la causalidad en el sentido unidireccional de Granger, desde el índice Infectious Disease Equity Market Volatility Tracker hacia la volatilidad del mercado accionario chileno, la cual se modela por un procedimiento autorregresivo condicional. Se aplican tres pruebas de causalidad y, de manera complementaria, la prueba de bicorrelación cruzada. Los resultados indican que este índice causa la volatilidad del mercado con la mayoría de las pruebas aplicadas. Esto senala la potencial relevancia de contar con este nuevo indicador para los agentes que participan en los mercados financieros, entre ellos reguladores, companías y corredores. Adicionalmente, los resultados son congruentes con la evidencia sobre la capacidad predictiva del índice sobre la volatilidad del precio del petróleo y otros índices.

Suggested Citation

  • Rafael Romero-Meza & Semei Coronado & Fabricio Ibañez-Veizaga, 2021. "COVID-19 y causalidad en la volatilidad del mercado accionario chileno," Estudios Gerenciales, Universidad Icesi, vol. 37(159), pages 242-250, June.
    • Handle: RePEc:col:000129:019329
    DOI: 10.18046/j.estger.2021.159.4412
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    Keywords

    COVID-19; causalidad de Granger; volatilidad; mercados emergentes; incertidumbre;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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