Contagion of the shareholder market: cases of Colombia, México, Perú, Chile and Argentina

• Vera Leyton, Marcos ^[1]
  1. [1] Universidad Autónoma de Colombia

     Universidad Autónoma de Colombia

     Colombia

     
• Localización: Dimensión empresarial, ISSN-e 1692-8563, Vol. 18, Nº. 1, 2020
• Idioma: inglés
• Enlaces
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• Resumen
  • español

    This document study the existence of financial crisis contagion, it defined like the transmission of the shocks between countries, which translates in increasing in the correlation anything beyond or fundamental link, taking as a source of contagion by EEUU, Brasil, and analyzing Mexico, Colombia, Peru, Chile and Argentina like “Infected” countries, for the period covered between July 3 of 2001, date of unification of the Colombia Stock Market, to July 3 of 2010. To identify crisis period, and to evoid volatility overestimation, it used the algorithm iterative cumulative sum of squares ICCS, developed by Inclan y Tiao (1994), additionally calculated the dynamic conditional correlation (DCC) Engle Model (2002). The document includes a review of several studies, concepts, and transmission (Contagion) methodologies, and it constitutes one of the few studies that includes Colombia like analysis source.  So this study verifies the existence of contagion in the countries studies, except Argentina, but warns that the measure of impact that a crisis in a given country has over other countries is highly sensitive to the way we choose the time window before and after the crisis.

  • English

    This document studies the existence of contagion of financial crises in the period between July 3, 2001 and July 3, 2010. To identify the period of crisis and to avoid overestimation of volatility, the algorithm of the sum of iterative cumulative squares and the conditional dynamic correlation model of Engle (2002) is calculated. The document includes a review of various contagion studies; Likewise, it verifies the existence of contagion in the countries studied, except Argentina, although it warns that the impact measure that a crisis of a given country has on the rest of the countries is highly sensitive to the way in which the analysis window is chosen. Keywords: Contagion, Crisis, DCC, GARCH, ICSS

  • português

    Este documento estuda a existência de contágio de crises financeiras no período entre 3 de julho de 2001 e 3 de julho de 2010. Para identificar o período de crise e evitar a superestimação da volatilidade, o algoritmo de é calculada a soma dos quadrados cumulativos iterativos e o modelo de correlação dinâmica condicional de Engle (2002). O documento inclui uma revisão de vários estudos de contágio; Da mesma forma, verifica a existência de contágio nos países estudados, exceto na Argentina, embora avise que a medida de impacto que uma crise de um determinado país tem sobre o restante dos países é altamente sensível à maneira como a janela de análise é escolhida. Palavras-chave: Contágio, Crise, DCC, GARCH, ICSS.