Mean and Volatility Transmission for Latin American Markets
Note: full-text not available due to publisher restrictions. Link takes you to an external site where you can locate the article at your local library.
This study uses a two-step GARCH-M procedure to observe mean-return and volatility transmissions between Latin American markets and to Latin America from external markets during the period 1993–2000. The results indicate that mean-return transmissions are common both within region and from external markets. The volatility transmission results are consistent with contagion theory and indicate that traders use both domestic news events as well as information contained by volatility in other markets in their information set.
Roberto Roberto Curci, Terrance Grieb, and Mario G. Reyes. "Mean and Volatility Transmission for Latin American Markets" Studies in Economics and Finance 20.2 (2002): 39-57.