Munich Personal RePEc Archive

A CONDITIONAL CORRELATION ANALYSIS FOR THE COLOMBIAN STOCK MARKET

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

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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

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