COVID-19 y causalidad en la volatilidad del mercado accionario chileno

• Romero-Meza, Rafael ^[1] ; Coronado, Semei ^[2] ; Ibañez-Veizaga, Fabricio ^[3]
  1. [1] Universidad Alberto Hurtado

     Universidad Alberto Hurtado

     Santiago, Chile

     
  2. [2] Research Assistant, San Diego College of Continuing Education, San Diego, Estados Unidos.
  3. [3] Analista económico, Finanzas Corporativas PKF Chile, Santiago de Chile, Chile.

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• Localización: Estudios Gerenciales: Journal of Management and Economics for Iberoamerica, ISSN 0123-5923, Vol. 37, Nº. Extra 159, 2021, págs. 242-250
• Idioma: español
• DOI: 10.18046/j.estger.2021.159.4412
• Títulos paralelos:
  • COVID-19 e causalidade na volatilidade do mercado acionário chileno
  • COVID-19 and causality in volatility in the Chilean stock market
• Enlaces
  • Texto completo
• Resumen
  • español

    En esta investigación se estudió la causalidad en el sentido unidireccional de Granger, desde el índice Infectious Disease Equity Market Volatility Tracker hacia la volatilidad del mercado accionario chileno, la cual se modela por un procedimiento autorregresivo condicional. Se aplican tres pruebas de causalidad y, de manera complementaria, la prueba de bicorrelación cruzada. Los resultados indican que este índice causa la volatilidad del mercado con la mayoría de las pruebas aplicadas. Esto señala la potencial relevancia de contar con este nuevo indicador para los agentes que participan en los mercados financieros, entre ellos reguladores, compañías y corredores. Adicionalmente, los resultados son congruentes con la evidencia sobre la capacidad predictiva del índice sobre la volatilidad del precio del petróleo y otros índices.

  • English

    In this research, the unidirectional Granger causality is studied from the Infectious Disease Equity Market Volatility Tracker index towards the volatility of the Chilean stock market, which is modeled through a conditional autoregressive procedure. Three causality tests are applied and, in a complementary way, the cross-bicorrelation test. The results indicate that this index causes market volatility with most of the tests applied. This indicates the potential relevance of having this new indicator for agents that participate in financial markets, including regulators, companies, and brokers. Additionally, the results are consistent with the evidence on the predictive capacity of this index on oil price volatility and other indices.

  • português

    Nesta pesquisa, a causalidade no sentido de Granger unidirecional foi estudada, desde o Infectious Disease Equity Market Volatility Tracker até a volatilidade do mercado acionário chileno, que é modelado por um procedimento autorregressivo condicional. Aplicam-se três testes de causalidade e, de forma complementar, o teste de bicorrelação cruzada. Os resultados indicam que esse índice causa volatilidade no mercado com a maioria dos testes aplicados. Isso indica a relevância potencial de ter este novo indicador para os agentes que participam dos mercados financeiros, incluindo reguladores, empresas e corretoras de valores. Adicionalmente, os resultados são consistentes com a evidência sobre a capacidade preditiva do índice sobre a volatilidade do preço do petróleo e outros índices.

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