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Equity Market Comovements and Financial Contagion: a Study of Latin America and the United States [extrait BMI 126]
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This paper examines the extent of short-term comovements and financial contagion for four major Latin American emerging markets and the United States by employing a dynamic conditional correlation (DCC) approach and a structural change analysis. Cross-market linkages are found to be time-varying and subjected to several breaks over the period 1988-2009. The patterns followed by DCC estimates are, however, not consistent with higher comovements between these markets in recent years. Finally, our results do not support the financial contagion hypothesis for the Mexican crisis of 1994, the Asian crisis of 1997-1998, and the global financial crisis of 2008-2009, in almost all cases.Keywords: Stock Market Comovements; Latin American Emerging Markets; DCCMGARCH Models; Structural Change Analysis.JEL Classification: F37; G15.Auteurs :El Hedi Arouri Mohamed
Extrait de la revue BMI 126
BMI126-1114934
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