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Article

ROBERTO CURCI, TERRANCE GRIEB and MARIO G. REYES

This study uses a two‐step GARCH‐M procedure to observe mean‐return and volatility transmissions between Latin American markets and to Latin America from external markets…

Abstract

This study uses a two‐step GARCH‐M procedure to observe mean‐return and volatility transmissions between Latin American markets and to Latin America from external markets during the period 1993–2000. The results indicate that mean‐return transmissions are common both within region and from external markets. The volatility transmission results are consistent with contagion theory and indicate that traders use both domestic news events as well as information contained by volatility in other markets in their information set.

Details

Studies in Economics and Finance, vol. 20 no. 2
Type: Research Article
ISSN: 1086-7376

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Book part

Cynthia J. Brown and Roberto Curci

In 1995 the Chicago Mercantile Exchange (CME) introduced a Brazilian Real futures contract. This study explores whether the level of futures contract hedging activity has…

Abstract

In 1995 the Chicago Mercantile Exchange (CME) introduced a Brazilian Real futures contract. This study explores whether the level of futures contract hedging activity has affected the volatility in Brazil’s equity market. As a proxy for volatility, a threshold autoregressive conditional heteroskedasticity (TARCH) model is employed to obtain the conditional variance of the log-daily returns in the BOVESPA, the Brazilian stock market index. Impulse response functions from a vector autoregressive (VAR) model are utilized to analyze the relationship between volatility and futures trading activity. The empirical results indicate that increased hedging activity has increased return volatility in Brazil’s equity markets.

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Latin American Financial Markets: Developments in Financial Innovations
Type: Book
ISBN: 978-1-84950-315-0

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Book part

Abstract

Details

Latin American Financial Markets: Developments in Financial Innovations
Type: Book
ISBN: 978-1-84950-315-0

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Book part

Alhassan Bangura and Roberto Curci

This study examines transmission of U.S. equity markets returns and volatility into Brazilian equity and labor markets. Monthly closing prices of U.S. S&P500 and Bovespa…

Abstract

This study examines transmission of U.S. equity markets returns and volatility into Brazilian equity and labor markets. Monthly closing prices of U.S. S&P500 and Bovespa indexes are used to proxy U.S. and Brazilian equity market returns. Brazilian monthly unemployment rates and the average wage index are used to measure U.S. equity market spillovers on foreign labor markets. Using a vector autoregression (VAR) model, a unidirectional return and volatility transmission from the U.S. to Brazil is found. The evidence also indicates that there is a weaker but significant lagged spillover of U.S. stock returns and volatility to the Brazilian labor market.

Details

Latin American Financial Markets: Developments in Financial Innovations
Type: Book
ISBN: 978-1-84950-315-0

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Book part

Harvey Arbeláez and Reid William Click

This book is an attempt to reflect on what we have learned from financial policies and financial crises in Latin America. The 21 chapters in this volume capture the…

Abstract

This book is an attempt to reflect on what we have learned from financial policies and financial crises in Latin America. The 21 chapters in this volume capture the developments in various ways. They cover theoretical contributions, regional empirical studies, and specific inquiries on Argentina, Brazil, Chile, Colombia, Cuba, Ecuador, Mexico, Peru and Venezuela. The breadth of methodologies implemented suggests that researchers are looking at Latin American financial markets through a variety of lenses. The chapters are divided into 7 parts, including, in Part I, an initial overview. Part II examines the foreign exchange markets in Latin America and their interactions with other markets. Part III discusses dollarization issues in the region. Part IV then takes up the issue of banking in Latin America. Equity and bond markets are considered in Parts V and VI, respectively. Lastly, Part VII considers pension systems in Latin America. Taken as a whole, the 21 chapters seize the excitement of studying Latin America and provide lessons that are applicable around the world.

Details

Latin American Financial Markets: Developments in Financial Innovations
Type: Book
ISBN: 978-1-84950-315-0

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Abstract

Details

Latin American Financial Markets: Developments in Financial Innovations
Type: Book
ISBN: 978-1-84950-315-0

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