Contagio entre las bolsas de estados unidos y las de América Latina: el caso de la crisis financiera de 2008

• Domingo Rodríguez Benavides ^[1]
  1. [1] Universidad Autónoma Metropolitana

     Universidad Autónoma Metropolitana

     México

     
• Localización: Contaduría y administración, ISSN 0186-1042, ISSN-e 2448-8410, Vol. 65, Nº. 2, 2020
• Idioma: español
• Títulos paralelos:
  • Contagion between the united states and latinamerican stock markets: The case of the financial crisis of 2008
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• Dialnet Métricas: 1 Cita
• Resumen
  • español

    En este trabajo empleamos la prueba de contagio financiero sugerida por Hatemi y Hacker (2005) con el fin de probar la hipotesis de contagio en los principales mercados accionarios de America Latina por parte de los mercados accionarios de Estados Unidos en la crisis del subprime. Dicha prueba se basa en el método de remuestreo con bootstrap, el cual se considera robusto a la ausencia de normalidad y de una creciente volatilidad (heterocedasticidad), caracteristicas inherentes a los mercados financieros particularmente en periodos de crisis. Los resultados muestran evidencia de contagio financiero en la crisis subprime de 2008 de los principales indices accionarios de Estados Unidos a algunos de los principales mercados financieros de Latinoamerica.

  • English

    In this paper we use the financial contagion test suggested by Hatemi and Hacker (2005) in order to test the hypothesis of contagion in the main equity markets of Latin America by the US equity markets in the subprime crisis. This test is based on the bootstrapping method, which is considered robust to the absence of normality and increasing volatility (heteroskedasticity), characteristics inherent to financial markets, particularly during periods of crisis. The results show evidence of financial contagion in the subprime crisis of 2008 from the main US stock indices to some of the main financial markets in Latin America.

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