IDEAS home Printed from https://ideas.repec.org/a/eei/journl/v65y2022i1p52-73.html
   My bibliography  Save this article

Dynamic Interdependence and Volatility Transmission from the American to the Brazilian Stock Market

Author

Listed:
  • Edson Z. Monte
  • Lucas B. Defanti

Abstract

The main aim of this paper is to verify the dynamic interdependence and transmission of volatility from the American (SP500) to the Brazilian stock market (IBOVESPA and sectoral indexes). Estimates were performed by GARCH/BEKK methodology, considering the period from January 2007 to December 2019. In the periods considered as “critical events†there was a significant increase in the conditional covariance between SP500 and Brazilian stock indexes (IBOVESPA and sector indices), which suggests for the hypothesis of financial contagion. The covariance increased more intensely and persistently during the so-called subprime crisis, one that had a major impact on the Brazilian economy, especially for the financial and industrial indexes. Furthermore, conditional variance estimates for Brazilian indexes revealed that that internal turmoil, whether economic or political, regardless of the international scenario (“critical events†), affected the volatility of the Brazilian stock market. These results have important implications regarding the future decisions of economic agents (politicians and investors), contributing to a better understanding of the behavior of the Brazilian stock market vis-à -vis the American stock market and the internal turbulences in the Brazilian economy, whether political or economic.

Suggested Citation

  • Edson Z. Monte & Lucas B. Defanti, 2022. "Dynamic Interdependence and Volatility Transmission from the American to the Brazilian Stock Market," Journal of Economics and Econometrics, Economics and Econometrics Society, vol. 65(1), pages 52-73.
    • Handle: RePEc:eei:journl:v:65:y:2022:i:1:p:52-73
    as

    Download full text from publisher

    File URL: https://ideas.repec.org/a/eei/journl/v65y2022i1p52-73.html
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    United States; Brazil; Stock Market; Volatility; GARCH-BEKK.;
    All these keywords.

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eei:journl:v:65:y:2022:i:1:p:52-73. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Julia van Hove (email available below). General contact details of provider: https://edirc.repec.org/data/eeriibe.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.