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Contagion in the LAC Financial Markets: The Impact of Stock Crises of 2008 and 2010

Author

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  • Rui Dias
  • Paulo Alexandre
  • Paula Heliodoro

Abstract

This research aims to evaluate financial contagion in the six main Latin Americ Countries (LAC) markets, as well as in the US, Greece and the EURO STOXX 50 indexes. Achieving this objective will allow us to answer the following questions: is there contagion among the emerging markets of Latin America? If so, what was the most critical moment of this phenomenon, the financial crisis of 2008 or 2010? If there is autocorrelation in the time series, will it be possible to detect serial volatility clusters? The results suggest the existence of financial contagion resulting from the financial crisis of 2008, with no significant contagion during the financial crisis of 2010. In the final phase, stock markets in Latin America have been infected by the subprime financial crisis. However, there was a readjustment in these regional markets during the European sovereign debt crisis of 2010, which could create conditions for implementing portfolio diversification strategies.

Suggested Citation

  • Rui Dias & Paulo Alexandre & Paula Heliodoro, 2020. "Contagion in the LAC Financial Markets: The Impact of Stock Crises of 2008 and 2010," Littera Scripta, VSTE, vol. 13(1), July.
    • Handle: RePEc:rsg:littra:2020-003
    DOI: 10.36708/Littera_Scripta2020/1/3
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