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Respuesta del mercado bursátil peruano a efectos del contagio financiero durante la pandemia COVID-19

Peruvian stock market response to financial contagion effects during the COVID-19 pandemic

dc.contributor.authorChambi Condori, Pedro Pablo
dc.contributor.authorChambi Vásquez, Miriam
dc.date.accessioned2024-07-03T14:35:30Z
dc.date.available2024-07-03T14:35:30Z
dc.date.created2024-04-16
dc.identifier.issn0120-6346
dc.identifier.urihttp://hdl.handle.net/11407/8369
dc.descriptionLa investigación tuvo como objetivo analizar el efecto de la pandemia ocasionada por la Covid-19 en la presencia de contagio financiero y la respuesta del mercado bursátil peruano ante los impulsos ocurridos en los mercados bursátiles de varios países emergentes y desarrollados durante la crisis sanitaria por efecto de la Covid-19; también realiza un análisis comparativo de los efectos de la volatilidad en tiempos de pre y postpandemia. La metodología utilizada aplicó modelos de correlación dinámica y de vectores autoregresivos sobre las series de tiempo diarias de índices bursátiles entre enero de 2005 y diciembre 2022. Se estimaron correlaciones dinámicas condicionadas y el sentido de causalidad de Granger, y como resultados se evidenció el incremento significativo del índice de correlación dinámica en el periodo de crisis respecto a periodos prepandemia e, incluso, superiores al periodo de la crisis financiera americana de 2008, y se estimó, además, la causalidad a niveles óptimos de rezagos y, así mismo, las respuestas del mercado bursátil peruano como evidencias empíricas de contagio financiero. La investigación es importante para la política monetaria en el Perú, para la fijación de precios en el mercado de acciones y la diversidad de opciones en la estructuración de portafolios de inversión con activos financieros internacionales que buscan eficiencia en la gestión de riesgos y retornos.spa
dc.descriptionThe objective of the research was to analyze the effect of the pandemic caused by Covid-19 in the presence of financial contagion and the response of the Peruvian stock market to the impulses that occurred in the stock markets of several emerging and developed countries during the health crisis due to the effect Covid-19, in addition to carrying out a comparative analysis of the effects of volatility in pre and post-pandemic times. The methodology used consisted of the application of Dynamic correlation models and autoregressive vectors on the daily time series of stock market índices between January 2005 and December 2022. Conditional dynamic correlations and Granger’s sense of causality were estimated, as results were evidenced. significant increases of dynamic correlation index in the crisis period compared to pre-pandemic periods and even higher than the period of the 2008 American financial crisis, as well as the causality at optimal levels of lags and likewise the responses of the Peruvian stock market as empirical evidence of financial contagion. The research is important for monetary policy in Peru, pricing in the stock market, and diversity of options in the structuring of investment portfolios with international financial assets seeking efficiencies in risk management and returns.eng
dc.formatPDF
dc.format.extentp. 1-27
dc.format.mediumElectrónico
dc.format.mimetypeapplication/pdf
dc.language.isospa
dc.publisherUniversidad de Medellín
dc.relation.ispartofseriesSemestre Económico; Vol. 27 No. 62 (2024)
dc.relation.haspartSemestre Económico; Vol. 27 Núm. 62 enero-junio 2024
dc.relation.urihttps://revistas.udem.edu.co/index.php/economico/article/view/4470
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0*
dc.sourceSemestre Económico; Vol. 27 No. 62 (2024): (enero-junio); 1-27
dc.subjectVolatilidadspa
dc.subjectMercados bursátilesspa
dc.subjectCausalidadspa
dc.subjectContagio financierospa
dc.subjectCOVID-19spa
dc.subjectVolatilityeng
dc.subjectStock marketseng
dc.subjectCausalityeng
dc.subjectFinancial contagioneng
dc.subjectCOVID-19eng
dc.titleRespuesta del mercado bursátil peruano a efectos del contagio financiero durante la pandemia COVID-19spa
dc.titlePeruvian stock market response to financial contagion effects during the COVID-19 pandemiceng
dc.typearticle
dc.identifier.doihttps://doi.org/10.22395/seec.v27n62a4470
dc.relation.citationvolume27
dc.relation.citationissue62
dc.relation.citationstartpage1
dc.relation.citationendpage27
dc.audienceComunidad Universidad de Medellínspa
dc.publisher.facultyFacultad de Ciencias Económicas y Administrativasspa
dc.coverageLat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degreesLong: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees
dc.publisher.placeMedellín
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dc.rights.creativecommonsAttribution-NonCommercial-NoDerivatives 4.0 International*
dc.identifier.eissn2248-4345
dc.type.coarhttp://purl.org/coar/resource_type/c_6501
dc.type.versioninfo:eu-repo/semantics/publishedVersion
dc.type.localArtículo científico
dc.type.driverinfo:eu-repo/semantics/article
dc.identifier.reponamereponame:Repositorio Institucional Universidad de Medellín
dc.identifier.repourlrepourl:https://repository.udem.edu.co/
dc.identifier.instnameinstname:Universidad de Medellín


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