A Comprehensive Analysis of Stock Index Connectedness and Volatility Spillovers Between Colombia, Brazil, Mexico, Chile, and the United States

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dc.creatorCandelo-Viáfara, Juan Manuel
dc.creatorRivera-Díaz, María del Pilar
dc.creatorOrrego-Reyes, Juan Esteban
dc.date2024-12-19
dc.date.accessioned2025-10-01T23:49:14Z
dc.descriptionObjective: This paper examines the interconnectedness of stock market indices between the United States and four Latin American countries: Colombia, Brazil, Mexico, and Chile. Particularly, it focuses on linkages and spillover effects, analyzing both the tails and the mean of the distribution.Design/Methodology: To address this gap identified in the literature, this study investigates the pre- and post-COVID-19 periods using the Quantile Vector Autoregression (QVAR) approach.Findings: The analysis revealed significant time variations in co-movements between stock indices, with notable peaks during the 2014–2017 and 2020–2021 periods. These peaks correspond to OPEC’s strategic shift in oil production and the global COVID-19 pandemic. Connectedness levels above 50 % underscore a high degree of interdependence, with the strongest connectedness observed in extreme quantiles, which signals increased risks during critical market conditions.Conclusions: This study identified significant volatility interconnectedness among U.S. and Latin American stock indices, with peaks during major global events such as OPEC’s 2014 strategy shift and the COVID-19 pandemic. Brazil emerges as a key driver of regional volatility transmission. Analysis of extreme quantiles revealed heightened spillovers during turbulent periods, underscoring increased market risk. These findings emphasize the impact of geopolitical and economic factors on market dynamics and offer valuable insights for investors, risk managers, and policymakers to navigate periods of elevated market uncertainty.Originality: These findings highlight pronounced volatility spillovers in the extreme tails of the distribution, accentuating increased uncertainty and risks associated with significant market fluctuations.en-US
dc.descriptionObjetivo: analizar la interconectividad de los índices bursátiles entre Estados Unidos y cuatro países de América Latina: Colombia, Brasil, México y Chile. Para ello se examinó el vínculo y los efectos de derrame, enfocándose específicamente en la cola y en la parte media de la distribución.Metodología: al tratar esta falta en la literatura, se abarcan los períodos previos y posteriores a la pandemia por COVID-19, empleando el enfoque de vectores autorregresivos cuantílico (QVAR, por sus siglas en inglés).Resultados: se observaron variaciones temporales significativas en los comovimientos entre índices, alcanzando un pico notable durante 2014-2017 y 2020-2021, coincidiendo con el cambio estratégico en la producción de petróleo de la Organización de Países Exportadores de Petróleo (OPEP) y la crisis pandémica global. La conectividad, que supera el 50 %, subraya una interdependencia sustancial, con una máxima conectividad en cuantiles extremos, lo que señala un aumento del riesgo durante extremos críticos del mercado.Conclusiones: El estudio revela una interconexión significativa de la volatilidad entre los índices bursátiles de EE. UU. y América Latina, con picos durante eventos globales como el cambio estratégico de la OPEP en 2014 y la pandemia de COVID-19. Brasil desempeña un papel clave en la transmisión de volatilidad regional. Los cuantiles extremos destacan un aumento en los desbordamientos de volatilidad durante períodos turbulentos, lo que subraya un mayor riesgo en los mercados. Estos hallazgos ofrecen valiosos conocimientos para inversores, gestores de riesgos y responsables políticos para afrontar períodos de alta incertidumbre en los mercados.Originalidad:  estos hallazgos destacan los notables desbordes de volatilidad en las colas más extremas de la distribución, acentuando la incertidumbre y los riesgos elevados asociados con fluctuaciones significativas del mercado.es-ES
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dc.identifierhttps://revistas.itm.edu.co/index.php/revista-cea/article/view/3075
dc.identifier10.22430/24223182.3075
dc.identifier.urihttps://hdl.handle.net/20.500.12622/7148
dc.languageeng
dc.languagespa
dc.publisherInstituto Tecnológico Metropolitano - ITMes-ES
dc.relationhttps://revistas.itm.edu.co/index.php/revista-cea/article/view/3075/3468
dc.relationhttps://revistas.itm.edu.co/index.php/revista-cea/article/view/3075/3642
dc.relationhttps://revistas.itm.edu.co/index.php/revista-cea/article/view/3075/3643
dc.relationhttps://revistas.itm.edu.co/index.php/revista-cea/article/view/3075/3644
dc.relationhttps://revistas.itm.edu.co/index.php/revista-cea/article/view/3075/3479
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dc.rightsDerechos de autor 2024 Juan Manuel Candelo-Viáfara, María del Pilar Rivera-Díaz, Juan Esteban Orrego-Reyeses-ES
dc.rightshttps://creativecommons.org/licenses/by-nc-sa/4.0es-ES
dc.sourceRevista CEA; Vol. 11 No. 25 (2025); e3075en-US
dc.sourceRevista CEA; Vol. 11 Núm. 25 (2025); e3075es-ES
dc.source2422-3182
dc.source2390-0725
dc.subjectconectividad del mercadoes-ES
dc.subjectcontagio del mercado financieroes-ES
dc.subjectvectores autorregresivos cuantílico (QVAR)es-ES
dc.subjectvolatilidad del mercadoes-ES
dc.subjectmarket connectednessen-US
dc.subjectfinancial contagionen-US
dc.subjectstock market spilloveren-US
dc.subjectQuantile Vector Autoregression (QVAR)en-US
dc.subjectvolatilityen-US
dc.titleA Comprehensive Analysis of Stock Index Connectedness and Volatility Spillovers Between Colombia, Brazil, Mexico, Chile, and the United Statesen-US
dc.titleAnálisis de la conectividad de los índices bursátiles y los efectos indirectos de la volatilidad entre Colombia, Brasil, México, Chile y EE. UUes-ES
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:eu-repo/semantics/publishedVersion

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