Volatility transmission between US and Latin American stock markets: Testing the decoupling hypothesis

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• 作者：Laura Cardona ^{lcardona@eafit.edu.co} ; Marcela Gutié ; rrez ^{mgutie12@eafit.edu.co} ; Diego A. Agudelo ; ^{dagudelo@eafit.edu.co}
• 关键词：G15 ; F36 ; C32
• 刊名：Research in International Business and Finance
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：39
• 期：part_PA
• 页码：115-127
• 全文大小：1212 K
• 卷排序：39

文摘

We test for volatility transmission between Latin America and US stock markets. We find evidence of Indirect volatility transmission from US to Latin America. Brazil transmits and receives volatility to/from the region. Increasing conditional correlation between Brazil, Mexico and US, 1993–2013. The “decoupling” hypothesis between US and LA is rejected in the short-term.