EFECTO CONTAGIO DEL MERCADO ESTADOUNIDENSE A LOS MERCADOS FINANCIEROS LATINOAMERICANOS DURANTE LA PANDEMIA POR COVID-19

Abstract

This paper analyses the contagion effect on Latin American markets and the United States during the COVID-19 pandemic using the DCC-GARCH model. The main finding is the determination of the existence of a statistically significant contagion effect between the US and the markets of Chile, Peru, Colombia, Mexico, and Brazil during the crisis period, implying that these markets were exposed to external shocks during the COVID-19 pandemic. Particularly, Mexico and Brazil have a stronger link to the U.S. market. In addition, the volatility of the U.S. market has a significant effect on the conditional correlations of the Latin American markets