Rui Dias – Polytechnic Institute of Setúbal, School of Business and Administration, Esce, Campus do Instituto
Politécnico de Setúbal, Estefanilha, 2914-503 Setúbal, Portugal
Paula Heliodoro – Polytechnic Institute of Setúbal, School of Business and Administration, Esce, Campus do Instituto
Politécnico de Setúbal, Estefanilha, 2914-503 Setúbal, Portugal
Paulo Alexandre – Polytechnic Institute of Setúbal, School of Business and Administration, Esce, Campus do Instituto
Politécnico de Setúbal, Estefanilha, 2914-503 Setúbal, Portugal
DOI: https://doi.org/10.31410/LIMEN.S.P.2019.91
5th International Scientific-Business Conference – LIMEN 2019 – Leadership, Innovation, Management and Economics: Integrated Politics of Research – SELECTED PAPERS, Graz, Austria, December 12, 2019, published by the Association of Economists and Managers of the Balkans, Belgrade; Printed by: SKRIPTA International, Belgrade, ISBN 978-86-80194-27-1, ISSN 2683-6149, DOI: https://doi.org/10.31410/LIMEN.S.P.2019
Abstract
The main goal of this research work is to analyse risk transmission, in a dynamic context,
between stock markets of the Latin American Countries (LAC) region, in the context of the subprime
and European sovereign debt crises. Specifically, we intend to evaluate the volatility transmission between
markets, as well as the respective asymmetric effect. For this purpose, we use a volatility measure
based on opening, closing, maximum and minimum daily prices. We intend to answer the following
questions: do Latin American stock markets show higher levels of volatility resulting from the financial
crises of 2008 and 2010? The results suggest there is a risk transmission resulting from the subprime
crisis. However, the empirical evidence points to a decrease in risk during the sovereign debt crisis of
2010, i.e. the high volatility during the subprime crisis tends to decrease in the period 2010-2012.
Keywords
Volatility, Stock markets, GARCH models.
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