Mercado de valores, contagio financiero y efecto Covid-19 en Perú
Palabras clave:
Contagio financiero, mercados bursátiles, correlación dinámica condicional, rendimiento bursátil, portafolios de inversión
Resumen
La crisis sanitaria de COVID-19 ha provocado una versión diferente y más severa del fenómeno del contagio financiero. El estudio tiene como objetivo examinar la incidencia de la pandemia COVID-19 en la presencia de contagio financiero entre el mercado de valores del Perú y mercados bursátiles de varios países emergentes y desarrollados durante la crisis sanitaria Covid-19. La metodología del estudio se basó en la aplicación del método de correlación dinámica condicional para modelos generalizados auto regresivos condicionalmente heterocedásticos multivariantes y la estimación de correlaciones dinámicas condicionadas. Los resultados arrojan incrementos significativos en el periodo de crisis COVID-19 respecto a periodos prepandemia, como evidencia empírica de contagio financiero. Los hallazgos de correlación dinámica condicionada significativos que llaman la atención son los índices de contagio financiero entre el mercado bursátil peruano y los mercados bursátiles de Estados Unidos, Alemania, México y Brasil. La principal conclusión es que los hallazgos de contagio financiero en este trabajo tienen implicaciones para los responsables de formulación de políticas, los inversionistas y los administradores de portafolios de inversión en el Perú.
Citas
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• Engle, B. R. F. (1982). With Estimates of the Variance of United Kindom Inflation, example will be presented.
• Engle, B.R.F. (2002). Dynamic Conditional Correlation: A simple class of multivariate generalized autoregressive conditional heterocedasticity models. Journal of Business & Economic Statistics, 20(3).
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• Nica, I. (2020). Conceptual dimensions regarding the financial contagion and the correlation with the stock market in Romania. XXVII(1), 75–86.
• Paskaleva, M., & Stoykova, A. (2021). Globalization Effects on Contagion Risks in Financial Markets. Ekonomicko-Manazerske Spektrum, 15(1), 38–54. https://doi.org/10.26552/ems.2021.1.38-54
• Piffaut, P. V. (2016). Integración, contagio financiero y riesgo bursátil: ¿qué nos dice la evidencia empírica para el periodo 1995-2016? 138–147.
• Rajhans, R. K., & Jain, A. (2015). Volatility Spillover in Foreign Exchange Markets. Paradigm, 19(2), 137–151. https://doi.org/10.1177/0971890715609846
• Righi, M. B., & Ceretta, P. S. (2012). Global Risk Evolution and Diversification: A Copula-DCC-GARCHModel Approach. Rev. Bras. Finanças, Rio De Janeiro, 10(4), 529–550.
• Rodriguez, D. & Perrotini, I. (2018). Las correlaciones dinámicas de contagio financiero: Estados Unidos y América Latina. Revista Mexicana de Economía y Finanzas Nueva Época, 14(2), 151-168. Https://doi.org/10.21919/remef.v1412.316
• Seth, N., & Panda, L. (2018). Financial contagion: review of empirical literature. Qualitative Research in Financial Markets, 10(1), 15–70. https://doi.org/10.1108/QRFM-06-2017-0056
• Studies, E., & Trifu, L. (2020). Romanian Stock Market under Global Pandemic: Do Traders Care about COVID-19 News? Proceedings of the International Conference on Economics and Social Sciences, 935–940. https://doi.org/10.2478/9788395815072-093
• Tayefi, M., & Ramanathan, T. V. (2016). An Overview of FIGARCH and Related Time Series Models. Austrian Journal of Statistics, 41(3), 175–196. https://doi.org/10.17713/ajs.v41i3.172
• Trabelsi, M. A., & Hmida, S. (2018). A dynamic correlation analysis of financial contagion: Evidence from the Eurozone stock markets. Entrepreneurial Business and Economics Review, 6(3), 129–141. https://doi.org/10.15678/EBER.2018.060308
• Vega, M., Suclupe, Y. L., & Primera, U. N. A. (2020). a comunicación. La Pandemia Del Covid - 19, 4(182), 4–9.
• Vera Leyton, M. (2019). Contagion of the shareholder market: cases of Colombia, México, Perú, Chile and Argentina. Dimensión Empresarial, 18((1)). https://doi.org/10.15665/dem.v18i(1).2068
• Wang, H., Yuan, Y., Li, Y., & Wang, X. (2021). Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory. Economic Modelling, 94(December 2019), 401–414. https://doi.org/10.1016/j.econmod.2020.10.002
• Wu, J., Zhang, C., & Chen, Y. (2022). Analysis of risk correlations among stock markets during the COVID-19 pandemic. International Review of Financial Analysis, 83(February), 102220. https://doi.org/10.1016/j.irfa.2022.102220
• Yarovaya, L., Brzeszczyński, J., Goodell, J. W., Lucey, B., & Keung Marco Lau, C. (2022). Rethinking Financial Contagion: Information Transmission Mechanism During the COVID-19 Pandemic. Journal of International Financial Markets, Institutions and Money, 79(June 2020), 101589. https://doi.org/10.1016/j.intfin.2022.101589
• Yilmaz, A., & Unal, G. (2016). Chaoticity Properties of Fractionally Integrated Generalized Autoregressive Conditional Heteroskedastic Processes. Bulletin of Mathematical Sciences and Applications, 15, 69–82. https://doi.org/10.18052/www.scipress.com/bmsa.15.69
• Zorgati, I., & Garfatta, R. (2021). Spatial financial contagion during the COVID-19 outbreak: Local correlation approach. Journal of Economic Asymmetries, 24(August), e00223. https://doi.org/10.1016/j.jeca.2021.e00223
• Akhtaruzzaman, M., Boubaker, S., & Sensoy, A. (2021). Financial contagion during COVID–19 crisis. Finance Research Letters, 38(April 2020), 101604. https://doi.org/10.1016/j.frl.2020.101604
• Andries, A. M., & Galasan, E. (2020). Measuring financial contagion and spillover effects with a state-dependent sensitivity value-at-risk model. Risks, 8(1). https://doi.org/10.3390/risks8010005
• Baumhl E , Bouri E , Hoang T H V, et al. (2020). From physical to financial contagion: the COVID-19 pandemic and increasing systemic risk among banks. EconStor Preprints.
• Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity, While conventional time series and econometric models operate under an assumption of constant variance , the ARCH ( Autoregressive Conditional Heteroskedastic ) process introduced in Engle ( 1982 ). 31, 307–327.
• Celik, S. (2012). The more contagion effect on emerging markets: The evidence of DCC-GARCH model. Economic Modelling, 29(5), 1946–1959. https://doi.org/10.1016/J.ECONMOD.2012.06.011
• Chevallier, J. (2020). COVID-19 Pandemic and Financial Contagion. Journal of Risk and Financial Management, 13(12), 309. https://doi.org/10.3390/jrfm13120309
• Chiang, T. C., Jeon, B. N., & Li, H. (2007). Dynamic correlation analysis of financial contagion: Evidence from Asian markets. Journal of International Money and Finance, 26(7), 1206–1228. https://doi.org/10.1016/J.JIMONFIN.2007.06.005
• Corbet, S., Hou, Y., Hu, Y., & Oxley, L. (2022). Financial contagion among COVID-19 concept-related stocks in China. Applied Economics, 54(21), 2439–2452. https://doi.org/10.1080/00036846.2021.1990844
• Dajčman, S., & Festić, M. (2012). Interdependence between the Slovenian and European stock markets-a DCC-GARCH analysis. Ekonomska Istrazivanja, 25(2), 379–396. https://doi.org/10.1080/1331677x.2012.11517513
• Engle, B. R. F. (1982). With Estimates of the Variance of United Kindom Inflation, example will be presented.
• Engle, B.R.F. (2002). Dynamic Conditional Correlation: A simple class of multivariate generalized autoregressive conditional heterocedasticity models. Journal of Business & Economic Statistics, 20(3).
• Gorun, A. (2013). A dcc-garch m. 136–148.
• Grubel, H. (1968). Internationally Diversified Portfolios. American Economic Review, 58, 1299-1314.
• Gunay, S., Bakry, W., & Al-Mohamad, S. (2021). The Australian Stock Market’s Reaction to the First Wave of the COVID-19 Pandemic and Black Summer Bushfires: A Sectoral Analysis. Journal of Risk and Financial Management, 14(4), 175. https://doi.org/10.3390/jrfm14040175
• Gutiérrez, D. J., & Raúl, R. (2020). Did the contagion effect occur on the Latin America stock markets during the global financial crisis? Revista de Metodos Cuantitativos Para La Economia y La Empresa, 29(29), 237–258. https://doi.org/10.46661/REVMETODOSCUANTECONEMPRESA.3312
• Hansen, K. B. (2021). Financial contagion: problems of proximity and connectivity in financial markets. Journal of Cultural Economy, 14(4), 388–402. https://doi.org/10.1080/17530350.2021.1879211
• Hongsakulvasu, N., Khiewngamdee, C., & Liammukda, A. (2020). Does COVID-19 crisis affects the spillover of oil Market’s return and risk on Thailand’s sectoral stock return?: Evidence from bivariate DCC GARCH-in-mean model. International Energy Journal, 20(4), 647–662.
• Karungu, R. M., Memba, F. S., & Muturi, W. M. (2020). Influence of financial contagion on stock performance of firms listed in the nairobi securities exchange. Accounting, 6(1), 1–16. https://doi.org/10.5267/j.ac.2019.7.001
• LE, T. P. T. D., & TRAN, H. L. M. (2021). The Contagion Effect from U.S. Stock Market to the Vietnamese and the Philippine Stock Markets: The Evidence of DCC – GARCH Model. Journal of Asian Finance, Economics and Business, 8(2), 759–770. https://doi.org/10.13106/jafeb.2021.vol8.no2.0759
• Lehnert, T. (2022). International Review of Financial Analysis Flight-to-safety and retail investor behavior. International Review of Financial Analysis, 81(February), 102142. https://doi.org/10.1016/j.irfa.2022.102315.
• Markowitz, H. M. (1991). Foundations of Portfolio Theory. The Journal of Finance, 46(2), 469–477. https://doi.org/10.2307/2328831.
• Molero-Oliva, L. (2022). Editorial. Sistemas económicos-financieros en Latinoamérica. Balance y perspectivas. Revista Venezolana de Gerencia, 27(99), 863-865. https://doi.org/10.52080/rvgluz.27.99.1
• Nica, I. (2020). Conceptual dimensions regarding the financial contagion and the correlation with the stock market in Romania. XXVII(1), 75–86.
• Paskaleva, M., & Stoykova, A. (2021). Globalization Effects on Contagion Risks in Financial Markets. Ekonomicko-Manazerske Spektrum, 15(1), 38–54. https://doi.org/10.26552/ems.2021.1.38-54
• Piffaut, P. V. (2016). Integración, contagio financiero y riesgo bursátil: ¿qué nos dice la evidencia empírica para el periodo 1995-2016? 138–147.
• Rajhans, R. K., & Jain, A. (2015). Volatility Spillover in Foreign Exchange Markets. Paradigm, 19(2), 137–151. https://doi.org/10.1177/0971890715609846
• Righi, M. B., & Ceretta, P. S. (2012). Global Risk Evolution and Diversification: A Copula-DCC-GARCHModel Approach. Rev. Bras. Finanças, Rio De Janeiro, 10(4), 529–550.
• Rodriguez, D. & Perrotini, I. (2018). Las correlaciones dinámicas de contagio financiero: Estados Unidos y América Latina. Revista Mexicana de Economía y Finanzas Nueva Época, 14(2), 151-168. Https://doi.org/10.21919/remef.v1412.316
• Seth, N., & Panda, L. (2018). Financial contagion: review of empirical literature. Qualitative Research in Financial Markets, 10(1), 15–70. https://doi.org/10.1108/QRFM-06-2017-0056
• Studies, E., & Trifu, L. (2020). Romanian Stock Market under Global Pandemic: Do Traders Care about COVID-19 News? Proceedings of the International Conference on Economics and Social Sciences, 935–940. https://doi.org/10.2478/9788395815072-093
• Tayefi, M., & Ramanathan, T. V. (2016). An Overview of FIGARCH and Related Time Series Models. Austrian Journal of Statistics, 41(3), 175–196. https://doi.org/10.17713/ajs.v41i3.172
• Trabelsi, M. A., & Hmida, S. (2018). A dynamic correlation analysis of financial contagion: Evidence from the Eurozone stock markets. Entrepreneurial Business and Economics Review, 6(3), 129–141. https://doi.org/10.15678/EBER.2018.060308
• Vega, M., Suclupe, Y. L., & Primera, U. N. A. (2020). a comunicación. La Pandemia Del Covid - 19, 4(182), 4–9.
• Vera Leyton, M. (2019). Contagion of the shareholder market: cases of Colombia, México, Perú, Chile and Argentina. Dimensión Empresarial, 18((1)). https://doi.org/10.15665/dem.v18i(1).2068
• Wang, H., Yuan, Y., Li, Y., & Wang, X. (2021). Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory. Economic Modelling, 94(December 2019), 401–414. https://doi.org/10.1016/j.econmod.2020.10.002
• Wu, J., Zhang, C., & Chen, Y. (2022). Analysis of risk correlations among stock markets during the COVID-19 pandemic. International Review of Financial Analysis, 83(February), 102220. https://doi.org/10.1016/j.irfa.2022.102220
• Yarovaya, L., Brzeszczyński, J., Goodell, J. W., Lucey, B., & Keung Marco Lau, C. (2022). Rethinking Financial Contagion: Information Transmission Mechanism During the COVID-19 Pandemic. Journal of International Financial Markets, Institutions and Money, 79(June 2020), 101589. https://doi.org/10.1016/j.intfin.2022.101589
• Yilmaz, A., & Unal, G. (2016). Chaoticity Properties of Fractionally Integrated Generalized Autoregressive Conditional Heteroskedastic Processes. Bulletin of Mathematical Sciences and Applications, 15, 69–82. https://doi.org/10.18052/www.scipress.com/bmsa.15.69
• Zorgati, I., & Garfatta, R. (2021). Spatial financial contagion during the COVID-19 outbreak: Local correlation approach. Journal of Economic Asymmetries, 24(August), e00223. https://doi.org/10.1016/j.jeca.2021.e00223
Publicado
2023-06-14
Cómo citar
Chambi Condori, P. P., & Saravia Ticona, T. R. (2023). Mercado de valores, contagio financiero y efecto Covid-19 en Perú. Revista Venezolana De Gerencia, 28(103), 965-982. https://doi.org/10.52080/rvgluz.28.103.4
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