Title

SYNCHRONIZATION AND CHANGES IN VOLATILITIES IN
THE LATIN AMERICAN'S STOCK EXCHANGE MARKETS

Authors

G. Cabrera, S. Coronado, O. Rojas, F. Venegas-Martínez
Departamento de Métodos Cuantitativos
Centro Universitario de
Ciencias Económico Administrativas
Universidad de Guadalajara, MÉXICO
Escuela de Ciencias Económicas y Empresariales
Universidad Panamericana
Campus Guadalajara, MÉXICO
Escuela Superior de Economía
Instituto Politécnico Nacional
MÉXICO

Abstract

In this paper we study a possible synchronization in volatility changes for some Latin America's stock exchange indexes. We also add the S&P 500 index to the analysis. We suggest a heterogeneity Markov switching model to capture changes in volatilities over time. To solve the problem of uncertainty in modeling each index, we suggest the Bayes Factor to identify the best Markov switching specification as the number of states, if any. We found that, all the daily growth rates for each index are well characterized by low, medium and high volatilities in different periods of time. We suggest some measures of synchronization based on the concordance by the changes in volatilities between the indexes. We show that, the Mexican, Chilean and the S&P 500 indexes are closer to each other than the rest

History

Received: February 7, 2017
Revised: March 21, 2017
Published: April 21, 2017

AMS Classification, Key Words

AMS Subject Classification: C22, G15
Key Words and Phrases: synchronization, Markov process, financial markets

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How to Cite?

DOI: 10.12732/ijpam.v114i1.10 How to cite this paper?

Source: International Journal of Pure and Applied Mathematics
ISSN printed version: 1311-8080
ISSN on-line version: 1314-3395
Year: 2017
Volume: 114
Issue: 1
Pages: 113 - 132

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This work is licensed under the Creative Commons Attribution International License (CC BY).

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