SciELO - Scientific Electronic Library Online

 
vol.45 número132What Exactly is 'Bad News' in Foreign Exchange Markets?: Evidence from Latin American MarketsVolatilidad de Indices Accionarios: El caso del IPSA índice de autoresíndice de materiabúsqueda de artículos
Home Pagelista alfabética de revistas  

Cuadernos de economía

versión On-line ISSN 0717-6821

Resumen

MORALES, Lucía de las Nieves. Volatility Spillovers between Equity and Currency Markets: Eviderice from Major Latin American Countries. Cuad. econ. [online]. 2008, vol.45, n.132, pp. 185-215. ISSN 0717-6821.  http://dx.doi.org/10.4067/S0717-68212008000200002.

This paper investigates the nature of volatility spillovers between stock returns and a number of exchange rates in six Latin American countries and one European economy in the 1998-2006 period. We divide our sample into sub periods, prior to and after the introduction of the Euro and we apply the EGARCH methodology to model volatility. Our results show that the volatility of stock returns affects the volatility of exchange rates; however, we do notfind eviderice ofvolatility transmission in the opposite direction.

Palabras clave : Stock Retums; Exchange Rates; Integration; Volatility spillovers; EGARCH modelling.

        · resumen en Español     · texto en Inglés     · pdf en Inglés