Impactos da crise de 2007/2008 nos mercados de capitais latino-americanos

Abstract

The tight integration of world markets has enhanced the effects of financial crises. The financial crisis of 2007/2008, which started in the U.S. and then expanded to the rest of the world, had severe impact on virtually every market in the world and can be compared to the Great Depression occurred in 1929. This event again opened discussions about the financial crisis and its impact on various financial markets in the world. Investors have questioned the foundations upon which their decisions were founded on the risk of investing in stocks and the benefits of global diversification (BARTRAM AND BODNAR, 2009). Given this context, the aim of this study is to investigate the impacts of the capital markets of the United States in Latin American stock markets due to the crisis of 2007/2008. The empirical study on the effects of financial crises in capital markets in Latin America is divided into three parts: impacts on long-term relationship, short-term relationship and the transmission of volatility. The first part consists of the cointegration analysis of each of the Latin American markets with the United States, two by two. This analysis is performed using the cointegration test of Engle and Granger (1987). In the second phase of the study, we estimated models of vector autoregressive (VAR) and error correction (VEC) for each of the countries with the United States. In the third step, we employed the multivariate GARCH-BEKK model considering student-t distribution to model the transmission of volatility. All these models are estimated for the entire period and sub-periods before, during and after the crisis. Our results indicate that the relationships between the countries of Latin America and the United States changed due to the crisis that occurred in 2007/2008. Both the long-term relationship and the transmission in volatility between the countries of Latin America and the US were more evident in the period following the crisis than during it, revealing a greater integration between markets after the crisis. On the other hand, when we analyze the relationship between returns employing the VAR/VEC methodology, it is clear that during the crisis there was an increase in dependency lags in some markets, reducing this dependence on the period after the crisis.