TY  - JOUR
AU  - Edwards,Sebastian
AU  - Susmel,Raul
TI  - Volatility Dependence and Contagion in Emerging Equity Markets
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 8506
PY  - 2001
Y2  - October 2001
UR  - http://www.nber.org/papers/w8506
L1  - http://www.nber.org/papers/w8506.pdf
N1  - Author contact info:
Sebastian Edwards
UCLA Anderson Graduate School of Business
110 Westwood Plaza, Suite C508
Box 951481
Los Angeles, CA 90095-1481
Tel: 310/206-6797
Fax: 310/206-5825
E-Mail: sebastian.edwards@anderson.ucla.edu
AB  - In this paper we use weekly stock market data for a group of Latin American countries to analyze the behavior of volatility through time. We are particularly interested in understanding whether periods of high volatility are correlated across countries. The analysis uses both on univariate and bivariate switching volatility models. Our results do not rely on the correlation coefficients, but on the co-dependence of volatility regimes. The results indicate that high-volatility episodes are, in general, short-lived, lasting from two to twelve weeks. We find strong evidence of volatility co-movements across countries, especially among the Mercosur countries.
ER  -