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Issue 5(1), October 2010 -- Paper Abstracts

Girard  (p. 9-22)

Cooper (p. 23-32)

Kunz-Osborne (p. 33-41)

Coulmas-Law (p.42-46)

Stasio (p. 47-56)

Albert-Valette-Florence (p.57-63)

Zhang-Rauch (p. 64-70)

Alam-Yasin (p. 71-78)

Mattare-Monahan-Shah (p. 79-94)

Nonis-Hudson-Hunt (p. 95-106)

JOURNAL OF APPLIED BUSINESS AND ECONOMICS

Regime-switching Volatility of Stock Returns

and Exchange Rates in Latin America

Author(s): Ricardo Tovar-Silos

Citation: Ricardo Tovar-Silos, (2017) "Regime-switching Volatility of Stock Returns and Exchange Rates in Latin America," Journal of Applied Business and Economics, Vol. 19, Iss.10,  pp.25-47

Article Type: Research paper

Publisher: North American Business Press

Abstract:

A SWARCH model was applied to the stock returns and exchange rates of Brazil, Chile and Mexico. Two

volatility states are present and the high volatility periods were identified and dated. The length of the

high volatility period was greater for stock returns during the financial crises of the nineties whereas

during the global financial crisis exchange rates experienced a longer period of high volatility. The

European sovereign debt crisis and the end of the Fed’s QE program caused high volatility on the

exchange rates only. The degree of concordance between the high volatility regimes of stock returns and

exchange rates is low in the three countries and only Brazil reported a significant positive correlation

between the states.