Interdependence and asymmetries: Latin American ADRs and developed markets
The ADRs market presented great growing importance in the last decades, specially for companies based on developing countries, such as those of Latin America. In this context, this research sought to detect and measure the interdependence phenomenon, comprising the returns and volatility spillovers...
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| Format: | Article |
| Language: | English |
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FUCAPE Business School
2018-01-01
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| Series: | BBR: Brazilian Business Review |
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| Online Access: | http://www.redalyc.org/articulo.oa?id=123056181006 |
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| _version_ | 1825207275825922048 |
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| author | Ana Carolina Costa Correa Tabajara Pimenta Luiz Eduardo Gaio |
| author_facet | Ana Carolina Costa Correa Tabajara Pimenta Luiz Eduardo Gaio |
| author_sort | Ana Carolina Costa Correa |
| collection | DOAJ |
| description | The ADRs market presented great growing importance in the last decades, specially for companies based on developing countries, such as those of Latin America. In this context, this research sought to detect and measure the interdependence phenomenon, comprising the returns and volatility spillovers and their asymmetries between the levels 2 and 3 ADRs of the main capital markets of Latin America (Brazil, Argentina, Chile and Mexico) and the developed ones (the United States, Japan, the United Kingdom and France), regarding the last financial crisis scope. This phenomenon was investigated considering both the daily returns of their market stock indices, such as those of the ADRs indices created in this study, from June 2008 to May, 2015, via VAR-MGARCH multivaried skewness models, with diagonal VECH representation. The main conclusion was that the ADR indices presented greater interdependence with the developed countries, compared to the analyzed Latin American equity markets. |
| format | Article |
| id | doaj-art-85d77362c9dd4847a5c8da66c33d39c1 |
| institution | Kabale University |
| issn | 1807-734X |
| language | English |
| publishDate | 2018-01-01 |
| publisher | FUCAPE Business School |
| record_format | Article |
| series | BBR: Brazilian Business Review |
| spelling | doaj-art-85d77362c9dd4847a5c8da66c33d39c12025-02-06T23:39:32ZengFUCAPE Business SchoolBBR: Brazilian Business Review1807-734X2018-01-0115439140910.15728/bbr.2018.15.4.6Interdependence and asymmetries: Latin American ADRs and developed marketsAna Carolina Costa CorreaTabajara PimentaLuiz Eduardo GaioThe ADRs market presented great growing importance in the last decades, specially for companies based on developing countries, such as those of Latin America. In this context, this research sought to detect and measure the interdependence phenomenon, comprising the returns and volatility spillovers and their asymmetries between the levels 2 and 3 ADRs of the main capital markets of Latin America (Brazil, Argentina, Chile and Mexico) and the developed ones (the United States, Japan, the United Kingdom and France), regarding the last financial crisis scope. This phenomenon was investigated considering both the daily returns of their market stock indices, such as those of the ADRs indices created in this study, from June 2008 to May, 2015, via VAR-MGARCH multivaried skewness models, with diagonal VECH representation. The main conclusion was that the ADR indices presented greater interdependence with the developed countries, compared to the analyzed Latin American equity markets.http://www.redalyc.org/articulo.oa?id=123056181006volatilityinterdependenceasymmetriesspilloversadrs |
| spellingShingle | Ana Carolina Costa Correa Tabajara Pimenta Luiz Eduardo Gaio Interdependence and asymmetries: Latin American ADRs and developed markets BBR: Brazilian Business Review volatility interdependence asymmetries spillovers adrs |
| title | Interdependence and asymmetries: Latin American ADRs and developed markets |
| title_full | Interdependence and asymmetries: Latin American ADRs and developed markets |
| title_fullStr | Interdependence and asymmetries: Latin American ADRs and developed markets |
| title_full_unstemmed | Interdependence and asymmetries: Latin American ADRs and developed markets |
| title_short | Interdependence and asymmetries: Latin American ADRs and developed markets |
| title_sort | interdependence and asymmetries latin american adrs and developed markets |
| topic | volatility interdependence asymmetries spillovers adrs |
| url | http://www.redalyc.org/articulo.oa?id=123056181006 |
| work_keys_str_mv | AT anacarolinacostacorrea interdependenceandasymmetrieslatinamericanadrsanddevelopedmarkets AT tabajarapimenta interdependenceandasymmetrieslatinamericanadrsanddevelopedmarkets AT luizeduardogaio interdependenceandasymmetrieslatinamericanadrsanddevelopedmarkets |