Dynamic Linkages between Stock Market and Exchange Rate in mila Countries: A Markov Regime Switching Approach (2003-2016)
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Universidad Autónoma Metropolitana
2018
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| author | Miriam Sosa |
| author_facet | Miriam Sosa |
| contents | Dynamic Linkages between Stock Market and Exchange Rate in mila Countries: A Markov Regime Switching Approach (2003-2016) Miriam Sosa Edgar Ortiz Alejandra Cabello Economía y Finanzas G15 C58 F31 D53 MILA This paper aims to analyse the dynamic relationship between the stock market returns and exchange rates movements for the mila (Mercado Integrado Latinoamericano) countries: Colombia, Chile, México and Peru, over the period 01:2003 to 09:2016. Univariate (Markov Switching-Autoregressive) and multivariate (Markov Switching-Vector Autoregressive) regime-switching models approach are used. The univariate analysis offers evidence indicating that stock returns of the mila countries evolve according to two different regimes: a low volatility regime and a high volatility regime. The Markov Switching Vector Autoregressive models point out that stock markets have more influence on exchange rate than exchange rate has on stock markets. Results for the Peruvian and Chilean markets contribute evidence about contagion between the stock and the exchange rate markets. 2018 artículo científico 0185-3937 https://www.redalyc.org/articulo.oa?id=41356919004 https://www.redalyc.org/journal/413/41356919004/ https://www.redalyc.org/journal/413/41356919004/html/ https://www.redalyc.org/journal/413/41356919004/41356919004.epub https://www.redalyc.org/journal/413/41356919004/movil en http://www.redalyc.org/revista.oa?id=413 Análisis Económico application/pdf Universidad Autónoma Metropolitana Análisis Económico (México) Num.83 Vol.XXXIII |
| format | Artículo científico |
| id | redalyc_41356919004 |
| institution | Redalyc |
| language | en |
| publishDate | 2018 |
| publisher | Universidad Autónoma Metropolitana |
| spellingShingle | Dynamic Linkages between Stock Market and Exchange Rate in mila Countries: A Markov Regime Switching Approach (2003-2016) Miriam Sosa Economía y Finanzas G15 C58 F31 D53 MILA Dynamic Linkages between Stock Market and Exchange Rate in mila Countries: A Markov Regime Switching Approach (2003-2016) Miriam Sosa Edgar Ortiz Alejandra Cabello Economía y Finanzas G15 C58 F31 D53 MILA This paper aims to analyse the dynamic relationship between the stock market returns and exchange rates movements for the mila (Mercado Integrado Latinoamericano) countries: Colombia, Chile, México and Peru, over the period 01:2003 to 09:2016. Univariate (Markov Switching-Autoregressive) and multivariate (Markov Switching-Vector Autoregressive) regime-switching models approach are used. The univariate analysis offers evidence indicating that stock returns of the mila countries evolve according to two different regimes: a low volatility regime and a high volatility regime. The Markov Switching Vector Autoregressive models point out that stock markets have more influence on exchange rate than exchange rate has on stock markets. Results for the Peruvian and Chilean markets contribute evidence about contagion between the stock and the exchange rate markets. 2018 artículo científico 0185-3937 https://www.redalyc.org/articulo.oa?id=41356919004 https://www.redalyc.org/journal/413/41356919004/ https://www.redalyc.org/journal/413/41356919004/html/ https://www.redalyc.org/journal/413/41356919004/41356919004.epub https://www.redalyc.org/journal/413/41356919004/movil en http://www.redalyc.org/revista.oa?id=413 Análisis Económico application/pdf Universidad Autónoma Metropolitana Análisis Económico (México) Num.83 Vol.XXXIII |
| title | Dynamic Linkages between Stock Market and Exchange Rate in mila Countries: A Markov Regime Switching Approach (2003-2016) |
| topic | Economía y Finanzas G15 C58 F31 D53 MILA |
| url | https://www.redalyc.org/articulo.oa?id=41356919004 https://www.redalyc.org/journal/413/41356919004/ https://www.redalyc.org/journal/413/41356919004/html/ https://www.redalyc.org/journal/413/41356919004/41356919004.epub https://www.redalyc.org/journal/413/41356919004/movil |