COVID-19 and its short-term informational impact on the stock markets of the Pacific Alliance countries

The processes of localisation and investment optimisation present a challenge when it comes to emerging markets. The phenomena of low diversification and efficiency in some economies do not allow structurers to adequately visualize the dynamics and risks involved. This article aims to establish, by means of a recursive VAR, the transitive impacts that exist between the stock markets of the countries that make up the Pacific Alliance: Chile, Colombia, Mexico and Peru. The findings show that Mexico and Chile are the markets with the greatest depth and liquidity and are therefore the first to react to a random and exogenous shock such as the one caused by the informational impact of COVID-19, while the markets of Colombia and Peru experience a high degree of dependence on the impacts caused in the markets of countries with higher levels of efficiency and depth. SUPPLEMENTARY INFORMATION: The online version contains supplementary material available at 10.1007/s43546-023-00469-6.