Umbral de volatilidad del mercado bursátil y su interrelación con la divisa

Umbral de volatilidad del mercado bursátil y su interrelación con la divisa

  • Pedro V ,
  • Damià Rey Miró ,

Keywords:

Systemic risk; Financial contagion; Emerging countries; Stock market volatility; VAR analysis; Implied volatility; Financial crisis

Abstract

The evidence of financial globalization, in addition to the rapid and uniform contagion between the different international financial markets, has been exposed once the financial crisis of 2007 was triggered, as well as the sovereign debt crisis of 2010 and more recently Brexit. Despite this, volatility in the post-crisis period has been historically low. In this study, an estimate is made of the volatility thresholds for each of the main indices in order to determine the possible degrees of contagion, as well as the degree of interrelation and volatility between financial markets and their respective currencies.

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