To access the full text documents, please follow this link: http://hdl.handle.net/2445/67661

Spillovers from the United States to Latin American and G7 Stock Markets: a VAR Quantile Analysis
Chuliá Soler, Helena; Guillén, Montserrat; Uribe, Jorge M.
We estimate multivariate quantile models to measure the responses of the six main Latin American (LA) stock markets to a shock in the United States (US) stock index. We compare the regional responses with those of seven developed markets. In general, we document weaker tailcodependences between the US and LA than those between the US and the mature markets. Our results suggest possible diversification strategies that could be exploited by investing in Latin America following a sizable shock to the US market. We also document asymmetrical responses to the shocks depending on the conditioning quantile at which they are calculated.
Risc (Economia)
Anàlisi de regressió
Països emergents
Mercat financer
Risk
Regression analysis
BRIC countries
Financial market
cc-by-nc-nd, (c) Chuliá Soler et al., 2015
http://creativecommons.org/licenses/by-nc-nd/3.0/
Working Paper
Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública
         

Show full item record

Related documents

Other documents of the same author

Chuliá Soler, Helena; Guillén, Montserrat; Uribe, Jorge M.
Alcañiz, Manuela; Ayuso, Mercedes; Chuliá Soler, Helena; Riera i Prunera, Maria Carme
 

Coordination

 

Supporters