Co-Movimentos Entre Mercados Acionários Da América Latina: Evidências Com O Covar

Abstract

Comovements in latin american equity markets: evidence with COVAR Co-movimientos en mercados bursátiles en américa latina: la evidencia con el COVARThe paper investigates comovements in equity markets in six Latin American Countries: Argentina, Brazil, Chile, Colombia, Mexico, and Peru. We used the CoVaR method to identify the contagion effect between those countries' stock exchanges, estimated by quintile regression. It was possible to find out which country has suffered most and which one has caused the highest contagion effect to the others. The results have shown that Peru was the country most vulnerable to risk, Argentina the one that least influenced the risk of other countries analyzed, and Mexico, followed by Brazil, the countries that contributed most to the contagion of others.