Artículos de Revistas

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https://repositorio.uft.cl/handle/20.500.12254/2372

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Examinando Artículos de Revistas por Autor "Magner, Nicolás S."

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  • Miniatura
    Ítem
    Equity market description under high and low volatility regimes using maximum entropy pairwise distribution
    (MDPI, 2021-10-05) Valle, Mauricio A.; Lavín, Jaime F.; Magner, Nicolás S.
    The financial market is a complex system in which the assets influence each other, causing, among other factors, price interactions and co-movement of returns. Using the Maximum Entropy Principle approach, we analyze the interactions between a selected set of stock assets and equity indices under different high and low return volatility episodes at the 2008 Subprime Crisis and the 2020 COVID-19 outbreak. We carry out an inference process to identify the interactions, in which we implement the a pairwise Ising distribution model describing the first and second moments of the distribution of the discretized returns of each asset. Our results indicate that second-order interactions explain more than 80% of the entropy in the system during the Subprime Crisis and slightly higher than 50% during the COVID-19 outbreak independently of the period of high or low volatility analyzed. The evidence shows that during these periods, slight changes in the second-order interactions are enough to induce large changes in assets correlations but the proportion of positive and negative interactions remains virtually unchanged. Although some interactions change signs, the proportion of these changes are the same period to period, which keeps the system in a ferromagnetic state. These results are similar even when analyzing triadic structures in the signed network of couplings
  • Miniatura
    Ítem
    A network-based approach to study returns synchronization of stocks: The case of global equity markets
    (Hindawi, 2021-11-09) Lavín, Jaime F.; Valle, Mauricio A.; Magner, Nicolás S.
    The synchronization in financial markets has increased during the rise of global markets. Nevertheless, global shocks provoke high levels of returns synchronization that jeopardize market stability. Using correlation-based networks, regressions, and VAR models, we measure and estimate the effect of global synchronization on the world equity markets of North America, Latin America, Europe, Asia, and Oceania between July 2001 and April 2020. We find that our measure of global stock synchronization is dynamic over time, its minimums coincide with significant financial shocks, and it shrinks to its minimum levels, indicating that the returns of global markets are moving in a synchronized way. Also, it is a significant and positive factor of regional synchronization. Regional markets react heterogeneously to global synchronization shocks suggesting both local and global factors are sources of synchronization. Our work helps market participants who need to measure, monitor, and manage the synchronization of returns in a parsimonious, dynamic, and empirically tractable way. Our evidence highlights the necessity of including synchronization as a risk factor to assess the decision-making criteria of a broad range of market participants ranging from regulators to investors. To policy-makers, governments, and central banks, our work is a call to incorporate events of high global synchronization into the radar of hazards of the whole market stability.