Paula Heliodoro – Escola Superior de Ciências Empresarias – Institute Polytechnic of Setúbal, Portugal

Rui Dias – Escola Superior de Ciências Empresarias – Institute Polytechnic of Setúbal, Portugal & CEFAGE, University
of Évora, Portugal

Paulo Alexandre – Escola Superior de Ciências Empresarias – Institute Polytechnic of Setúbal, Portugal

DOI: https://doi.org/10.31410/EMAN.S.P.2020.1

4th International Scientific Conference – EMAN 2020 – Economics and Management: How to Cope With Disrupted Times, Online/Virtual, September 3, 2020, SELECTED PAPERS published by: Association of Economists and Managers of the Balkans, Belgrade, Serbia; ISBN 978-86-80194-31-8, ISSN 2683-4510

Abstract:

To realise how crises are disseminated is relevant for policy makers and regulators in order to take appropriate measures to prevent or contain the propagation of crises. This study aims to analysis the financial contagion in the six main markets of Latin America (Argentina, Brazil, Chile, Colombia, Mexico and Peru) and the USA, in the period 2015-2020. Different approaches have been undertaken to carry out this analysis in order to consider the following research question, namely whether: (i) the global pandemic covid19 has accentuated the contagion between Latin American financial markets
and the US? The results of the autocorrelation tests are totally coincident with those obtained by
the BDS test. The rejection of the null hypothesis, i.i.d., can be explained, among other factors, by the
existence of autocorrelation or by the existence of heteroscedasticity in the stock market index series,
in which case the rejection of the null hypothesis is explained by non-linear dependence on data, with
the exception of the Argentine market. However, significant levels of contagion were expected to occur
between these regional markets and the US as a result of the global pandemic (Covid-19), which did
not happen. These results may indicate the implementation of efficient diversification strategies. The
authors consider that the results achieved are relevance for investors who seek opportunities in these
stock markets, as well as for policy makers to carry out institutional reforms in order to increase the
efficiency of stock markets and promote the sustainable growth of financial markets.

Keywords:

Covid19; Contagion effects; Region LAC; Portfolio diversification.

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