Project Details
Description
The integration of the Chilean, Peruvian, Colombian and Mexican stock exchanges through MILA not only represents an important institutional effort of the four member countries, but is expected to have had relevant effects on the market; either through the volume traded or the return on investments.
However, an aspect that has not been studied but that is fundamental is whether this integration process has had an effect on the volatility observed in the MILA stock exchanges, a fundamental parameter for the financial market, especially for derivatives.
The proposed study seeks to meet this need through a GARCH-MIDAS analysis of the return of the MILA stock market indices, which will allow identifying which economic (eg: GDP), financial (eg: reference rates) and Institutional (ex: MILA) affect stock market volatility in the short and long term.
However, an aspect that has not been studied but that is fundamental is whether this integration process has had an effect on the volatility observed in the MILA stock exchanges, a fundamental parameter for the financial market, especially for derivatives.
The proposed study seeks to meet this need through a GARCH-MIDAS analysis of the return of the MILA stock market indices, which will allow identifying which economic (eg: GDP), financial (eg: reference rates) and Institutional (ex: MILA) affect stock market volatility in the short and long term.
| Status | Finished |
|---|---|
| Effective start/end date | 1/04/19 → 31/03/20 |
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