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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Autores principales:	Ana Carolina Costa Correa, Tabajara Pimenta, Luiz Eduardo Gaio
Formato:	article
Lenguaje:	EN PT
Publicado:	FUCAPE Business School 2018
Materias:	volatility interdependence asymmetries spillovers adrs Business HF5001-6182
Acceso en línea:	https://doaj.org/article/85d77362c9dd4847a5c8da66c33d39c1
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id	oai:doaj.org-article:85d77362c9dd4847a5c8da66c33d39c1
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spelling	oai:doaj.org-article:85d77362c9dd4847a5c8da66c33d39c12021-11-11T15:48:07ZInterdependence and asymmetries: Latin American ADRs and developed markets1807-734X10.15728/bbr.2018.15.4.6https://doaj.org/article/85d77362c9dd4847a5c8da66c33d39c12018-01-01T00:00:00Zhttp://www.redalyc.org/articulo.oa?id=123056181006https://doaj.org/toc/1807-734XThe 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.Ana Carolina Costa CorreaTabajara PimentaLuiz Eduardo GaioFUCAPE Business SchoolarticlevolatilityinterdependenceasymmetriesspilloversadrsBusinessHF5001-6182ENPTBBR: Brazilian Business Review, Vol 15, Iss 4, Pp 391-409 (2018)
institution	DOAJ
collection	DOAJ
language	EN PT
topic	volatility interdependence asymmetries spillovers adrs Business HF5001-6182
spellingShingle	volatility interdependence asymmetries spillovers adrs Business HF5001-6182 Ana Carolina Costa Correa Tabajara Pimenta Luiz Eduardo Gaio Interdependence and asymmetries: Latin American ADRs and developed markets
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
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
title	Interdependence and asymmetries: Latin American ADRs and developed markets
title_short	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_sort	interdependence and asymmetries: latin american adrs and developed markets
publisher	FUCAPE Business School
publishDate	2018
url	https://doaj.org/article/85d77362c9dd4847a5c8da66c33d39c1
work_keys_str_mv	AT anacarolinacostacorrea interdependenceandasymmetrieslatinamericanadrsanddevelopedmarkets AT tabajarapimenta interdependenceandasymmetrieslatinamericanadrsanddevelopedmarkets AT luizeduardogaio interdependenceandasymmetrieslatinamericanadrsanddevelopedmarkets
_version_	1718433898691559424

Interdependence and asymmetries: Latin American ADRs and developed markets

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