A CONDITIONAL CORRELATION ANALYSIS FOR THE COLOMBIAN STOCK MARKET

Sandoval Paucar, Giovanny (2021): A CONDITIONAL CORRELATION ANALYSIS FOR THE COLOMBIAN STOCK MARKET. Published in:

Abstract

The article investigates the uncertainty and interdependence between the Colombian stock market and the main international markets. A Dynamic Conditional Correlation Model (DCC) is estimated to study the interdependence between selected stock markets and a GARCH model to analyze conditional volatility. To this end, a daily data sample is used, covering the period between January, 2001 and September, 2018. The results show that the subprime crisis period generates a significant positive effect on the conditional volatility. In addition, there is a significant co-movement in time between the Colombian stock market and national and international markets. Finally, I find evidence of financial contagion in periods of the subprime crisis and European debt

• Item Type: MPRA Paper
• Language: English
• Keywords: Dynamic conditional correlation, financial crises, multivariate GARCH, financial markets, interdependence
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General; F - International Economics > F3 - International Finance > F32 - Current Account Adjustment ; Short-Term Capital Movements; F - International Economics > F3 - International Finance > F36 - Financial Aspects of Economic Integration; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

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