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Asymmetric influences on Latin American stock markets: A quantile approach

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  • Kruel, Maximiliano
  • Ceretta, Paulo Sergio

Abstract

This study examines the impact of international crude oil prices on quantiles of the distribution of stock market returns in Argentina, Brazil, Chile, and Mexico, from May 1, 2015 to January 15, 2021. For this purpose, quantile and ordinary least squares regression analysis methods were compared, controlling for the effects of autocorrelation, exchange rates, the S&P 500, and the COVID-19 pandemic period. We performed the analyses considering five quantiles associated with different states of stock market performance. The results showed that oil price fluctuations exhibited positive influences on Latin American stock markets, more prominent when oil prices were positive, as well as across all quantiles for the S&P 500 index. However, the exchange rate had a negative impact, except in Argentina. Asymmetric responses were found under negative and positive influences in previous trading sessions, as well for the pandemic period.

Suggested Citation

  • Kruel, Maximiliano & Ceretta, Paulo Sergio, 2022. "Asymmetric influences on Latin American stock markets: A quantile approach," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
    • Handle: RePEc:eee:joecas:v:26:y:2022:i:c:s1703494922000238
    DOI: 10.1016/j.jeca.2022.e00262
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    1. Nyakurukwa, Kingstone & Seetharam, Yudhvir, 2023. "Quantile and asymmetric return connectedness among BRICS stock markets," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).

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