Connectivity between the Latin American and U.S. stock markets in the presence of the Covid-19 pandemic

Auteurs-es

DOI :

https://doi.org/10.5902/1983465969467

Mots-clés :

Stock markets, Dynamic connectedness, COVID-19 pandemic, TVP-VAR model, Latin American

Résumé

Objective - This paper aims to revisit the relationship between the Latin American and U.S. stock markets during the Covid-19 pandemic.

Methodology- The dynamic connectivity between these markets was estimated by implementing the time-varying VAR model (TVP-VAR) for daily data from January 2010 to June 2021.

Results - There are three main results. First, although spillovers from each market accounted for most of their variance, exchanges were not entirely independent of each other. Second, the U.S. and Brazil were net transmitters of spillovers, while Argentina and Chile were net receivers. Finally, the magnitude of net spillovers is not high enough to characterize a contagion effect.

Practical implications - The inclusion of Latin American stock markets in the scope of Covid-19 studies is an important contribution to the literature that often neglects Latin American markets in its samples.

Originality - The study of the connection between markets in the presence of Covid-19 differs from most that focus exclusively on the impact of Covid-19. Understanding the relationship between Latin American and U.S. markets in the presence of a crisis unlike any that has occurred before can help investors in their investment strategies and policymakers, governments, and monetary authorities interested in the integration or disintegration between markets.

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Bibliographies de l'auteur-e

Paulo Sergio Ceretta, Universidade Federal de Santa Maria

Possui graduação em Administração pela Universidade Federal de Santa Maria(1992), especialização em Estatistica e Modelagem Quantitativa pela Universidade Federal de Santa Maria(2008), mestrado em Engenharia de Produção pela Universidade Federal de Santa Maria(1995) e doutorado em Engenharia de Produção pela Universidade Federal de Santa Catarina(2001). Atualmente é PROFESSOR ASSOCIADO da Universidade Federal de Santa Maria, Revisor de projeto de fomento do Conselho Nacional de Desenvolvimento Científico e Tecnológico, Revisor de periódico da REAd. Revista Eletrônica de Administração, Revisor de periódico da Revista Brasileira de Finanças, Revisor de periódico da Revista de Ciências da Administração (CAD/UFSC), Revisor de periódico da Latin American Business Review (Binghamton), Revisor de periódico da Redes (Santa Cruz do Sul), Revisor de periódico da Custos e @gronegócio Online, Membro de corpo editorial da Sociais e Humanas, Revisor de periódico da RAM. Revista de Administração Mackenzie (Online), Revisor de periódico da Ciência Rural (UFSM. Impresso), Revisor de periódico da The Quarterly Review of Economics and Finance, Revisor de projeto de fomento da The United Arab Emirates University (UAEU; http://www.uaeu.ac.ae/en/), Membro de corpo editorial da Revista de Administração da UFSM e Membro de corpo editorial da RAM. Revista de Administração Mackenzie (Online). 

Vanessa Rabelo Dutra, Federal University of Pampa

Possui Doutorado em Administração pela Universidade Federal de Santa Maria (2020), mestrado em Administração pela Universidade Federal de Santa Maria (2007), especialista em administração financeira pela Universidade Federal do Rio Grande do Sul (2005) e graduação em Administração pela Universidade Federal de Santa Maria (2003). Atualmente é docente da Universidade Federal do Pampa. Atua principalmente em finança corporativas.

Paulo Fernando Marschner, Universidade Federal de Santa Maria

Possui graduação em Administração pela Universidade Estadual do Rio Grande do Sul (2016) e Mestrado em Administração/Finanças pela Universidade Federal de Santa Maria (2019). Atualmente é Doutorando em Administração/Finanças pela Universidade Federal de Santa Maria. Foi professor substituto no Instituto Federal Farroupilha Campus Júlio de Castilhos. Tem interesse nas áreas de economia e finanças comportamentais e mercado de capitais.

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Publié-e

2022-10-22

Comment citer

Ceretta, P. S., Dutra, V. R., & Marschner, P. F. (2022). Connectivity between the Latin American and U.S. stock markets in the presence of the Covid-19 pandemic. Revista De Administração Da UFSM, 15(3), 453–468. https://doi.org/10.5902/1983465969467

Numéro

Vol. 15 No. 3 (2022): Jul-Sep

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(c) Tous droits réservés Revista de Administração da UFSM 2022

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