Similar Search Results

Return and volatility transmission between world-leading and Latin American stock markets : portfolio implications

Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 7/148, pp. 1-19

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets … (USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of … during the global financial crisis and the crash of the Chinese stock market. Regarding volatility spillover, the results …

Persistent link: https://www.econbiz.de/10012309325

Non-Linear Error Correction Models between the Stock Markets in Latin America and the United States

Valdés, Arturo Lorenzo - 2008

The intention of the present work is to evaluate long-run relations in the stock markets of six Latin American countries (Argentina, Brazil, Chile, Colombia, Mexico and Peru) and the United States stock market, by means of a model in which a cointegration relation exists between the principals...

Persistent link: https://www.econbiz.de/10014215075

Capital Controls and Stock Market Volatility in Frequency Domain

Orlov, Alexei G. - 2014

The link between capital controls and stock market volatility is examined using frequency domain techniques …. Conventional analyses of the second moments can produce spurious results if the high-frequency volatility is reduced (increased …) while the overall volatility is increased (reduced) …

Persistent link: https://www.econbiz.de/10013055581

International stock market linkages: evidence from Latin America

Diamandis, Panayotis F. - In: Global finance journal 20 (2009) 1, pp. 13-30

Persistent link: https://www.econbiz.de/10003878341

Stock market co-movement in Latin America and the US : evidence from a new approach

Vatsa, Puneet; Basnet, Hem Chandra; Mixon, Franklin G. - In: Journal of financial economic policy 14 (2022) 2, pp. 162-171

Persistent link: https://www.econbiz.de/10012880689

The linkage between the U.S. "fear index" and ADR premiums under non-frictionless stock markets

Esqueda, Omar A.; Luo, Yongli; Jackson, Dave - In: Journal of economics and finance 39 (2015) 3, pp. 541-556

Persistent link: https://www.econbiz.de/10011471137

Spillovers from the United States to Latin American and G7 stock markets : a VAR quantile analysis

Chuliá, Helena; Guillén, Montserrat; Uribe, Jorge - In: Emerging markets review 31 (2017), pp. 32-46

Persistent link: https://www.econbiz.de/10011803160

Reacción De Los Mercados Accionarios Latinoamericanos a Los Anuncios Macroeconomicos (Latin-American Stock Market's Reaction to Macroeconomic Announcements )

Agudelo, Diego A. - 2014

shows empirical evidence of the effect of macroeconomic announcements (inflation and GDP) on returns, volatility and trading … cases, contradicting market efficiency. Besides, inflation announcements are associated to higher volatility whereas those … of GDP are to lower volatility for most of the countries …

Persistent link: https://www.econbiz.de/10013054976

The relevance of using accounting fundamentals in the Mexican stock market

Dorantes Dosamantes, Carlos Alberto - In: Journal of economics, finance & administrative science 18 (2013), pp. 2-10

This paper examines the value relevance of accounting fundamentals in the Mexican Stock Market ([BMV] - Bolsa Mexicana de Valores). The research question that motivated the paper was: Can accounting fundamentals provide relevant information to better understand firm value? More specifically, the...

Persistent link: https://www.econbiz.de/10011872378

The Impact of the Global Financial Crisis on the Efficiency and Performance of Latin American Stock Markets

Zhu, Zhenzhen - 2020

We analyze the impact of the most recent global financial crisis (GFC) on the seven most important Latin American stock markets. Our mean-variance analysis shows that the markets are significantly less volatile and, in general, investors prefer to invest in the post-GFC period. Our results from...

Persistent link: https://www.econbiz.de/10012849139