VOLATILITY AND CONDITIONAL MARKET CORRELATIONS IN PERIODS OF CRISIS

被引：0

作者：

Borges, Wemerson Gomes ^{[1
]}

Carvalho, Luciano Ferreira ^{[2
]}

Lima, Nilton Cesar ^{[3
]}

Reina, Donizete ^{[4
]}

机构：

[1] Univ Fed Uberlandia, Ciencias Contabeis, Uberlandia, MG, Brazil

[2] Univ Fed Uberlandia, Econ, Uberlandia, MG, Brazil

[3] Univ Fed Uberlandia, Univ Sao Paulo, Adm, Uberlandia, MG, Brazil

[4] Univ Fed Uberlandia, Univ Fed Do Santo, Ciencias Contabeis, Uberlandia, MG, Brazil

来源：

REVISTA ELETRONICA DE ESTRATEGIA E NEGOCIOS-REEN | 2023年 / 16卷

关键词：

Volatility; conditional correlation; market movements; contagions; crisis; PORTFOLIO DIVERSIFICATION; TIME-SERIES; UNIT-ROOT; FINANCIAL CRISIS; CONTAGION; INTERDEPENDENCE; TRANSMISSION; INTEGRATION; STABILITY; DYNAMICS;

D O I：

暂无

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

The study analyzed co-movements and contagions in Latin American stock markets, testing the benefits of diversification in times of crisis. The period investigated was from January 2000 to December 2018, testing the correlations through Asymmetric Dynamic Conditional Correlation models. The results indicate that correlations increase in periods of crisis in all markets and sectors, thus reducing the benefits of portfolio diversification. It was also possible to observe that the increase in correlations during an internal crisis is of smaller magnitude than the increase in correlations during external crises, such as Subprime.

引用

页数：33

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